I am trying to do some work on VaR and Expected Shortfall with the help of Generalized Pareto Distributions.

Can someone please guide me to some dataset of financial data, preferably something like a Time Series of Portfolio Pnl Nos. on a daily basis or something on those lines, which is freely available.

Thanks a lot for your help.


there is lots of data available on the data wiki: What data sources are available online?

None the less I would recommend quandl as they have tons of free data. If you just want portfolios maybe try ETF data or Mutual fund data.

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  • $\begingroup$ Thanks, I don't wanna use ETF or Mutual Funds data because I was looking for something which might have derivatives in it. I will check out ur suggestions. Thank u. $\endgroup$ – Deb Sep 1 '16 at 18:41

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