The Pernicious Effects of Contaminated Data in Risk Management

By Perignon Christophe, Fresard Laurent, and Wilhelmsson Anders
Journal of Banking and Finance (2011)

  • Christophe Perignon

    HEC Paris

    France

  • Laurent Fresard

    University of Maryland

    USA

  • Anders Wilhelmsson

    Lund University

    Sweden

Created

September 23, 2013

Last update

September 26, 2013

Software

Excel

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37

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3661

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Description

The file contains the data used in Figure 2 on page 2573. More specifically, it contains the daily VaR, as well as raw profit-and-loss (including fees and commissions) and clean profit-and-loss data for one large European Bank (La Caixa, Spain) between January 2007 and December 2008.

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