portvine
Vine Based (Un)Conditional Portfolio Risk Measure Estimation
v1.0.3
·
Jan 18, 2024
·
MIT + file LICENSE
Description
Following Sommer (2022) <https://mediatum.ub.tum.de/1658240> portfolio level risk estimates (e.g. Value at Risk, Expected Shortfall) are estimated by modeling each asset univariately by an ARMA-GARCH model and then their cross dependence via a Vine Copula model in a rolling window fashion. One can even condition on variables/time series at certain quantile levels to stress test the risk measure estimates.
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| r-devel-linux-x86_64-debian-gcc | OK |
| r-devel-linux-x86_64-fedora-clang | OK |
| r-devel-linux-x86_64-fedora-gcc | OK |
| r-devel-macos-arm64 | OK |
| r-devel-windows-x86_64 | OK |
| r-oldrel-macos-arm64 | NOTE |
| r-oldrel-macos-x86_64 | NOTE |
| r-oldrel-windows-x86_64 | NOTE |
| r-patched-linux-x86_64 | OK |
| r-release-linux-x86_64 | OK |
| r-release-macos-arm64 | OK |
| r-release-macos-x86_64 | OK |
| r-release-windows-x86_64 | OK |
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installed size is 40.6Mb
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NOTE 11 OK · 3 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 9, 2026
NOTE
r-oldrel-macos-arm64
installed package size
installed size is 39.8Mb
sub-directories of 1Mb or more:
libs 38.6Mb
NOTE
r-oldrel-macos-x86_64
installed package size
installed size is 40.6Mb
sub-directories of 1Mb or more:
libs 39.4Mb
NOTE
r-oldrel-windows-x86_64
installed package size
installed size is 6.1Mb
sub-directories of 1Mb or more:
libs 5.0Mb
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1.0.3
Mar 9, 2026