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portvine

Vine Based (Un)Conditional Portfolio Risk Measure Estimation

v1.0.3 · Jan 18, 2024 · MIT + file LICENSE

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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CRAN Check Status

13 OK
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r-devel-linux-x86_64-debian-clang OK
r-devel-linux-x86_64-debian-gcc OK
r-devel-linux-x86_64-fedora-clang OK
r-devel-linux-x86_64-fedora-gcc OK
r-devel-windows-x86_64 OK
r-oldrel-macos-arm64 OK
r-oldrel-macos-x86_64 OK
r-oldrel-windows-x86_64 OK
r-patched-linux-x86_64 OK
r-release-linux-x86_64 OK
r-release-macos-arm64 OK
r-release-macos-x86_64 OK
r-release-windows-x86_64 OK

Check History

OK 13 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Jun 9, 2026
ERROR 12 OK · 0 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE Jun 8, 2026
ERROR r-devel-linux-x86_64-debian-gcc

whether package can be installed

install log ‘’ does not exist
OK 12 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Apr 25, 2026
NOTE 11 OK · 3 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Apr 22, 2026
NOTE r-oldrel-macos-arm64

installed package size

installed size is 39.8Mb
  sub-directories of 1Mb or more:
    libs  38.6Mb
NOTE r-oldrel-macos-x86_64

installed package size

installed size is 40.6Mb
  sub-directories of 1Mb or more:
    libs  39.4Mb
NOTE r-oldrel-windows-x86_64

installed package size

installed size is  6.1Mb
  sub-directories of 1Mb or more:
    libs   5.0Mb
ERROR 10 OK · 3 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE Apr 18, 2026
ERROR r-devel-windows-x86_64

whether package can be installed

Installation failed.
See 'd:/Rcompile/CRANpkg/local/4.6/portvine.Rcheck/00install.out' for details.
NOTE r-oldrel-macos-arm64

installed package size

installed size is 39.8Mb
  sub-directories of 1Mb or more:
    libs  38.6Mb
NOTE r-oldrel-macos-x86_64

installed package size

installed size is 40.6Mb
  sub-directories of 1Mb or more:
    libs  39.4Mb
NOTE r-oldrel-windows-x86_64

installed package size

installed size is  6.1Mb
  sub-directories of 1Mb or more:
    libs   5.0Mb
NOTE 11 OK · 3 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 10, 2026
NOTE r-oldrel-macos-arm64

installed package size

installed size is 39.8Mb
  sub-directories of 1Mb or more:
    libs  38.6Mb
NOTE r-oldrel-macos-x86_64

installed package size

installed size is 40.6Mb
  sub-directories of 1Mb or more:
    libs  39.4Mb
NOTE r-oldrel-windows-x86_64

installed package size

installed size is  6.1Mb
  sub-directories of 1Mb or more:
    libs   5.0Mb

Dependency Network

Dependencies Reverse dependencies checkmate data.table dplyr dtplyr future.apply ppcor Rcpp rlang rugarch rvinecopulib tidyr portvine

Version History

4 tracked
new 1.0.3 Mar 10, 2026
updated 1.0.3 ← 1.0.2 diff Jan 17, 2024
updated 1.0.2 ← 1.0.1 diff Jan 5, 2023
new 1.0.1 May 30, 2022