This data file contains the daily value-at-risk and trading revenues for Bank of America, Credit Suisse First Boston, Deutsche Bank, Royal Bank of Canada, and Société Générale between January 1, 2001 and December 31, 2004. All values are in millions and are expressed in local currencies. The data are displayed in Figure 5 and summary statistics are presented in Table 5. The data can be used to reproduce the GARCH results in Table 6 and the forecasting analysis in Table 7.
Working Paper (2018)
Müller Gernot and Hettig Thomas