portvine

Vine Based (Un)Conditional Portfolio Risk Measure Estimation

Last update: 18 January 2024

Software version identifier: 1.0.2, 1.0.1, 1.0.3

Copyright license: MIT license, File License

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.