Pitfalls in Backtesting Historical Simulation VaR models

By Escanciano Juan Carlos and Pei Pei
Journal of Banking and Finance (2012)

  • Juan Carlos Escanciano

    Indiana University

    USA

  • Pei Pei

    Chinese Academy of Finance and Development, CUFE

    China

Created

September 30, 2013

Last update

June 20, 2016

Software

Matlab

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53

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Description

The dataset contains the returns for three portfolios based on three representative US stocks traded on the New York Stock Exchange (NYSE). The stocks are Walt Disney (DIS), General Electric (GE) and Merck & Company (MRK). Daily data on their market closure prices9 are collected over the period of 01/04/1999–12/31/2009, and then the daily returns are calculated as 100 times the difference of the log prices. The compositions of the three portfolios considered are (0.4, 0.1, 0.5), (0.1, 0.1, 0.8) and (0.3, 0.1, 0.6), respectively, where the numbers in each parentheses from left to right represent the portfolio weights on DIS, GE and MRK, respectively.

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