portvine

MaRDI QIDQ82991CRANFDO

Authors Emanuel Sommer

Last update 18 January 2024

Copyright license MIT license, File License

Software version identifier 1.0.2, 1.0.1, 1.0.3

Description

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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