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Finding Free Financial Data for VaR and Expected Shortfall Research

Article Quant Q&A · Author: Deb
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Summary

The document responds to a request for freely available financial data to study value at risk and expected shortfall using generalized Pareto distributions. It recommends looking for publicly available market-data collections and suggests exchange-traded fund or mutual fund data as practical inputs when portfolio-level daily profit-and-loss histories are unavailable.

The response points to a general online data directory and a provider said to offer a large amount of free data. It does not identify a specific dataset, describe its coverage or licensing, or show how to turn asset-price histories into portfolio returns or losses. Consequently, the suggestions are starting points for sourcing data rather than a worked VaR or tail-risk method; researchers must assess suitability, frequency, completeness, and portfolio construction for their own analysis.

Key ideas

  • Free market data can provide inputs for VaR and expected shortfall research.
  • ETF or mutual fund histories may serve as proxies when portfolio P&L series are unavailable.
  • The response offers broad source suggestions but no named dataset specifications.
  • Researchers need to verify that data frequency and construction fit their risk analysis.

Tags

Risk managementStatisticsBacktesting
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# Free Data Sets for VaR calculations


# Free Data Sets for VaR calculations












I am trying to do some work on VaR and Expected Shortfall with the help of Generalized Pareto Distributions.

Can someone please guide me to some dataset of financial data, preferably something like a Time Series of Portfolio Pnl Nos. on a daily basis or something on those lines, which is freely available.

Thanks a lot for your help.

## Answer by FX_NINJA (score 1, accepted)

https://quant.stackexchange.com/a/29939

there is lots of data available on the data wiki: What data sources are available online?

None the less I would recommend quandl as they have tons of free data. If you just want portfolios maybe try ETF data or Mutual fund data.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.