Published January 2, 2023
| Version v1
Dataset
Open
Dataset with Risk estimates of major currency pairs on the Forex market
Authors/Creators
- 1. Innov-Acts LTD
- 2. JRC Capital Management Consultancy Research GmbH
Description
This dataset includes Value at Risk (VaR) and Expected Shortfall (ES) estimations of the major currency pairs on the Forex market. Notably, it provides daily VaR and ES estimates for the AUDUSD, EURCAD, EURCHF, EURUSD, GBPUSD, and USDJPY FX assets for January 2021 to September 2022. The reported risk estimates were calculated by various parametric and non-parametric models, including Variance-Covariance (VS), Historical Simulation (HS), Monte Carlo (MC), and Garch(1,1) at both 95% and 99% confidence levels. To enable model evaluation, the last column of each CSV file, named pnl, provides the actual daily returns of the FX asset.
The data and code used to create this dataset are available at Zenodo and INFINITECH Marketplace, respectively.
Files
audusd_VaR_2021-01-03_2022-09-07.csv
Files
(315.5 kB)
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md5:010d30c535712bcbed386ab914641201
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Additional details
Funding
References
- Fatouros, G., Makridis, G., Kotios, D. et al. DeepVaR: a framework for portfolio risk assessment leveraging probabilistic deep neural networks. Digit Finance (2022). https://doi.org/10.1007/s42521-022-00050-0