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I'm struggling to find VaR & ES data for ETF's on websites such yahoo finance & Morningstar. Where can I find this data?

Thanks,

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  • $\begingroup$ I do not think that yahoo finance provides this information at all. $\endgroup$ – Kare Nov 2 '15 at 16:20
  • $\begingroup$ @Kare Yahoo not but it's something very basic, how does it comes that I can't find this anywhere? $\endgroup$ – michael Nov 2 '15 at 17:07
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    $\begingroup$ For VaR and ES, they depend on a lot of other choice - such as the length of the data period, the percentile level and algorithms etc. These are mainly decided by each financial institution based on data availability and regulatory requirement. For any data provider, they usually provide raw data only. $\endgroup$ – Gordon Nov 2 '15 at 20:13
  • $\begingroup$ @Gordon of-course but still because it's so basic information, I'll expected for data based "best practice choices"/most common choices used by Practitioners $\endgroup$ – michael Nov 2 '15 at 20:35
  • $\begingroup$ Ordinary people who buy ETFs don't know and don't care about VaR and ES. Institutional investors do care, but as Gordon said, compute it themselves according to their criteria and methods. In any case you need to compute them on a portfolio basis, the VaR for a single ETF is not that useful. $\endgroup$ – noob2 Nov 3 '15 at 13:44
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Better to compute it by yourself either using Historical simmulation, Monte Carlo, or simple parametric method such as variance-covariance. Alternatively subscribe toBloomberg Risk Analytics, populate the ISIN(s) for your ETF(s) and get the relevant metrics.

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