portvine

1.0.3

Vine Based (Un)Conditional Portfolio Risk Measure Estimation

0packages depend

3.3Kdownloads / year

99.9%test coverage

13/13checks pass

Overview

About

Maintained by Emanuel SommerFirst published 2022-05-313 releasesCRAN page ↗GitHub ↗

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.

Install

R (CRAN)pak (dev)Ubuntu (r2u)openSUSE (OBS)

install.packages("portvine", repos = "https://cloud.r-project.org/")

Installs the current CRAN release. Prebuilt binaries on Windows and macOS.

if (!requireNamespace("pak", quietly = TRUE))
  install.packages("pak", repos = "https://cloud.r-project.org/")
pak::pak("EmanuelSommer/portvine")

Development version from EmanuelSommer/portvine. Installs pak first if it is not already available.

Release

# enable cranapt (r2u) if it is not already set up, then install
grep -rqs r2u.stat.illinois.edu /etc/apt/sources.list /etc/apt/sources.list.d/ \
  || curl -fsSL https://raw.githubusercontent.com/eddelbuettel/r2u/master/inst/scripts/add_cranapt_noble.sh | sudo bash
sudo apt install -y r-cran-portvine

Fast Ubuntu binaries via r2u (no compilation). The cranapt setup runs once and is skipped when it is already enabled.

bspm (used by r2u) also needs make: sudo apt install make

# add the autoCRAN OBS repo (Tumbleweed) if it is missing, then install
zypper -q lr | grep -qi autoCRAN \
  || sudo zypper addrepo https://download.opensuse.org/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Tumbleweed/devel:languages:R:autoCRAN.repo
sudo zypper install -y R-portvine

RPMs auto-built from CRAN on openSUSE OBS (Tumbleweed).

Health

CRAN checks

13OK

Slowest check: 11.4 min · r-oldrel-windows-x86_64

Check history

OK2026-06-09
13 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
ERROR2026-06-08
12 OK · 0 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE
OK2026-04-25
12 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
NOTE2026-04-22
11 OK · 3 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
ERROR2026-04-18
10 OK · 3 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE

Show 1 earlier snapshots

NOTE2026-03-10
11 OK · 3 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE

Documentation

Documentation signals are not tracked yet for this package.

Downloads

3.3K

CRAN downloads in the past year

Rank #15,733 · ~9/day · ~276/mo

portvine Releases R versions

Daily download trend is not available in this view yet.

23430 days

69790 days

3.3K1 year

Compare downloads with other packages →

Also on408 r2u33 autocran

Repository

GitHub ↗ emanuelsommer/portvine

24Stars

4Forks

0Open issues

0Open PRs

3Releases

110Commits

2Contributors

vine-copulasrpackageexpected-shortfallvalue-at-riskgarch-models

110 commits · Last activity 2024-01-22 · 0% stars, 30d

Repository practices

Upstream repositoryBeta

5 development-tooling and community-health practices detected across 5 families in the upstream repository

Checks run against github.com/emanuelsommer/portvine on 2026-07-19.

Continuous integration (1)

GitHub Actions

CRAN release process (1)

cran-comments.md

Docs source (1)

README.Rmd

Lint, format, editor (1)

RStudio project

Show all practices

Coverage (1)

Codecov

How this is detected·Detection ruleset v1 (2026-07-18)

Dependencies

Declared dependencies

27 external dependencies (excludes base and recommended)

Depends (1)

R >= 2.10

Imports (12)

checkmate data.table dplyr dtplyr future.applymethodsppcor Rcpp rlang rugarch rvinecopulib tidyr

LinkingTo (7)

BH kde1d Rcpp RcppEigen RcppThread rvinecopulib wdm

Suggests (9)

covr future ggplot2 ggtext knitr patchwork rmarkdown scales testthat

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

0direct

0indirect

Nothing depends on this yet.

Code & Tests

People & History

People (1)

Maintainer (1)

Emanuel Sommer

Maintainer, Author

Authors (1)

Emanuel Sommer

Maintainer, Author

Package Timeline

3 releases. R releases are shown for context.

R
R 4.6.0 released · 2026-04-24
R
R 4.5.0 released · 2025-04-11
R
R 4.4.0 released · 2024-04-24
1.0.3Latest
2024-01-18 · current release · diff ↗
R
R 4.3.0 released · 2023-04-21
1.0.2
2023-01-06 · diff ↗
1.0.1
2022-05-31
R
R 4.2.0 released · 2022-04-22

Package metadata

First published: 2022-05-31
Total releases: 3 / 4 yrs
License: MIT + file LICENSE OSI
Download size: 535 KB
Installed size: not tracked yet
With dependencies: not tracked yet

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