Package: portvine 1.0.3.9000

Emanuel Sommer

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.

Authors:Emanuel Sommer [cre, aut]

portvine_1.0.3.9000.tar.gz
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manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
portvine/json (API)

# Install 'portvine' in R:

install.packages('portvine', repos = c('https://emanuelsommer.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/emanuelsommer/portvine/issues

Pkgdown/docs site:https://emanuelsommer.github.io

Uses libs:

c++– GNU Standard C++ Library v3

Datasets:

sample_returns_small - A sample of log returns for 3 assets.

On CRAN:

expected-shortfall garch-models value-at-risk vine-copulas cpp

5.08 score 24 stars 6 scripts 275 downloads 12 exports 69 dependencies

Last updated from:f1e58e717c. Checks:13 OK. Indexed: yes.

Target	Result	Time
linux-devel-arm64	OK	341
linux-devel-x86_64	OK	361
source / vignettes	OK	547
linux-release-arm64	OK	321
linux-release-x86_64	OK	389
macos-release-arm64	OK	404
macos-release-x86_64	OK	453
macos-oldrel-arm64	OK	310
macos-oldrel-x86_64	OK	1065
windows-devel	OK	277
windows-release	OK	366
windows-oldrel	OK	362
wasm-release	OK	231

Exports:default_garch_spec est_es est_var estimate_risk_roll fitted_marginals fitted_vines marginal_settings risk_estimates roll_residuals show summary vine_settings

Dependencies:assertthat backports BH checkmate chron cli codetools cpp11 data.table digest DistributionUtils dplyr dtplyr FNN fracdiff future future.apply GeneralizedHyperbolic generics globals glue kde1d kernlab KernSmooth ks lattice lifecycle listenv magrittr MASS Matrix mclust mgcv multicool mvtnorm nlme nloptr numDeriv parallelly pillar pkgconfig ppcor pracma purrr R6 randtoolbox Rcpp RcppArmadillo RcppEigen RcppThread rlang rngWELL Rsolnp rugarch rvinecopulib SkewHyperbolic spd stringi stringr tibble tidyr tidyselect truncnorm utf8 vctrs wdm withr xts zoo

Get started

Rendered fromget_started.Rmdusingknitr::rmarkdown

Last update: 2022-05-26
Started: 2021-11-07

Citation

Development and contributors

Readme and manuals

Help Manual

Help page	Topics
Default specifications for ARMA-GARCH models	default_garch_spec
Estimate the Expected Shortfall (ES)	est_es
Estimate the Value at Risk (VaR)	est_var
(Un-)conditional rolling risk estimation using vine copulas	estimate_risk_roll
Accessor method for the fitted marginal models of (cond_)portvine_roll objects	fitted_marginals fitted_marginals,portvine_roll-method
Accessor method for the fitted vine copula models of (cond_)portvine_roll objects	fitted_vines fitted_vines,portvine_roll-method
S4 class for the marginal settings	marginal_settings marginal_settings-class show,marginal_settings-method
S4 output class for the function 'estimate_risk_roll()'	cond_portvine_roll-class portvine_roll-class show,cond_portvine_roll-method show,portvine_roll-method summary,cond_portvine_roll-method summary,portvine_roll-method
Accessor methods for the risk estimates of (cond_)portvine_roll objects	risk_estimates risk_estimates,cond_portvine_roll-method risk_estimates,portvine_roll-method
Extract fitted standardized residuals from a uGARCHroll object	roll_residuals
A sample of log returns for 3 assets.	sample_returns_small
S4 class for the vine settings	show,vine_settings-method vine_settings vine_settings-class