portvine (Q82991)
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Vine Based (Un)Conditional Portfolio Risk Measure Estimation
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | portvine |
Vine Based (Un)Conditional Portfolio Risk Measure Estimation |
Statements
18 January 2024
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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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