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.

Version:	1.0.3
Depends:	R (≥ 2.10)
Imports:	checkmate, data.table, dplyr, dtplyr, future.apply, methods, ppcor, Rcpp (≥ 0.12.12), rlang, rugarch, rvinecopulib, tidyr
LinkingTo:	BH, kde1d, Rcpp, RcppEigen, RcppThread, rvinecopulib, wdm
Suggests:	covr, future, ggplot2, ggtext, knitr, patchwork, rmarkdown, scales, testthat (≥ 3.0.0)
Published:	2024-01-18
DOI:	10.32614/CRAN.package.portvine
Author:	Emanuel Sommer [cre, aut]
Maintainer:	Emanuel Sommer <emanuel_sommer at gmx.de>
BugReports:	https://github.com/EmanuelSommer/portvine/issues
License:	MIT + file LICENSE
URL:	https://github.com/EmanuelSommer/portvine, https://emanuelsommer.github.io/portvine/
NeedsCompilation:	yes
Materials:	README NEWS
CRAN checks:	portvine results

Documentation:

Reference manual:	portvine.pdf
Vignettes:	Get started

Downloads:

Package source:	portvine_1.0.3.tar.gz
Windows binaries:	r-devel: portvine_1.0.3.zip, r-release: portvine_1.0.3.zip, r-oldrel: portvine_1.0.3.zip
macOS binaries:	r-release (arm64): portvine_1.0.3.tgz, r-oldrel (arm64): portvine_1.0.3.tgz, r-release (x86_64): portvine_1.0.3.tgz, r-oldrel (x86_64): portvine_1.0.3.tgz
Old sources:	portvine archive

Linking:

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