The Level and Quality of Value-at-Risk Disclosure by Commercial Banks

By Perignon Christophe and Smith Daniel R.
Journal of Banking and Finance (2010)

  • Christophe Perignon

    HEC Paris

    France

  • Daniel R. Smith

    Queensland University of Technology

    Australia

Created

September 25, 2013

Last update

October 10, 2013

Software

Excel

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84

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2055

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149

Description

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.

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