Diversification and Value-at-Risk

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 23, 2013

Last update

September 26, 2013

Software

Excel

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48

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2869

Downloads

303

Description

This file contains the data used in Figures 1 and 2. Specifically, it contains the individual Value-at-Risk (credit spread, commodity, foreign exchange, equity, and interest rate) and diversified (i.e., firm level) Value-at-Risk for Bank of America, Citigroup, HSBC, and JPMorgan Chase between 2004Q1 and 2007Q1.

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