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I would like to know if there exist a database where Value at risk of commercial banks are.

Beyond that if there is a connection between the rating from agency (as S&P, Fitch etc..) and the VaR of banks. And where I can find references of that.

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I restrict myself to credit rating for Banks only.

There are different solutions, in bold are my preferred one.

  • To have just an idea about single banks register a free user account to rating agencies as S&P, Fitch, Moody's and type the bank of interest. Also history in some cases is available. (this solution is just per bank and slow)

    • Database Compuststat via Wharton (WRDS subscription), not free. Only S&P historical ratings, but with a complete database after you insert the correct tags of interest. Download via web, or with external software R, Matlab, etc.

    • Bankscope (new Orbis bank), not free via web or WRDS subscription. Fitch ratings but they are not able to be saved to file due to restrictions (just to that manually). Very user-friednly database and historical data too.

    • Thomson one banker, not free. A complete overview of ratings can be seen bank for bank with historical view. But it is not possible to get it in batch for historical ratings for all the banks in one shot. Slow but complete.

Other databases can be Datastream (not free and partially historical data ), Bloomberg (current and historical ratings data but one company at time).

There are also other database but after some research I managed to get them.

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My understanding is that all the advanced approaches banks disclose their quarterly VaR as part of their Basel II.5 Market Risk Disclosures.

I don't know of any databases of this data but you can download it yourself. Examples: Citibank JP Morgan

Those banks disclose daily but some (BB&T) instead disclose quarterly.

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  • $\begingroup$ thank you, I knew I should look at every single bank disclosure. But it takes too long, and I can face some dishomogeneities. $\endgroup$ – FabIO Feb 1 '17 at 20:21

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