FEA VaRessentials datasets provide G-25 volatilities and correlations calculated according to the standards provided by RiskMetricsÂ® guidelines.
"Our primary goal in developing the VaRessentials service is to provide an inexpensive and reliable source of volatility and correlation datasets to professional risk managers," said Laurent Birade, FEA Vice President of Sales and Marketing.
VaRessentials subscribers can download dataset files for the past five business days, past twelve month-ends and the past three year-ends. Generated three times a week, the datasets are available for a yearly subscription fee of $295, and can be downloaded directly from the FEA website.
Birade added, "While there exist similarities between the VaRessentials service and a dataset product which RiskMetrics cancelled last year, the FEA VaRessentials service is not an exact replica. Rather, we designed the service to ease the technology-intensive nature of managing enterprise risk."
"Downloading VaRessentials datasets can replace the time-intensive processes of historical data collection, data cleaning and dataset creation necessary to analyze and maximize the use of VaR methodologies for risk management," he said.
Since 1995, VaR has gained broad acceptance as an industry standard for calculation of enterprise-wide risk. By making VaR calculation datasets available, FEA aims to aid in the adoption of standardized risk methodologies around the world.