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portvine: Vine Based (Un)Conditional Portfolio Risk Measure Estimation
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.
Getting started
Browse package contents
Package details |
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| Author | Emanuel Sommer [cre, aut] |
| Maintainer | Emanuel Sommer <emanuel_sommer@gmx.de> |
| License | MIT + file LICENSE |
| Version | 1.0.3 |
| URL | https://github.com/EmanuelSommer/portvine https://emanuelsommer.github.io/portvine/ |
| Package repository | View on CRAN |
| Installation |
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