Risklio Event Risk Data Factors for equities in the US, UK, Germany

risklio event risk factors data ( KPIs ) provide an aggregate snapshot of a security’s event risk exposure over the past financial year. KPIs are calculated based on events that happened within the last trading year. Events that happened recently have a higher weight in the calculation of the KPIs than events that happened longer ago. Raw KPIs are a percentage value and represent the expected effect of events on the price of a financial instrument. They consist of two parts: the event probability and the conditional effect: Event probability: represents the frequency of how often in the past year an event occurred. It is a percentage value. Conditional effect: represents the average effect of events on the percentage change of the financial market price relative to the preceding year (the return), given that an event had occurred that day. It is aggregated over the past financial year and is a percentage value. Data Description: Event Risk is based on the "[probability that] the price of an individual debt or equity security moves precipitously relative to the general market, e.g. on a takeover bid or some other shock event; such events would also include the risk of “default”. (BCBS definition)". Risklio methodology controls for systematic (market-related) jumps, offering "unbiased" risk measures based exclusively on idiosyncratic non-systematic event risk. Methodology Risklio Event Risk Factors US utilizes innovative methodology inspired by credit risk modelling. The dataset contains entity-specific daily event probabilities, conditional event effects and expected event effects calculated over the past trading year on a rolling basis, not including the current date. Historical data is available starting 2011. Data includes: - Russell 1000 - information is used for mapping: Figi, CompositeFigi, LEI, permid, ISIN, sic Data Criteria: - Event Probabilities - Conditional Event Effects (positive and negative) - Expected Event Effects (positive and negative) You can use Risklio Data for: - Improving systematic trading strategy - Calibrating market risk models - Tracking companies, sectors, industries

Risklio事件风险因子数据（关键绩效指标，KPIs）提供了过去一个财年中某一证券事件风险敞口的汇总快照。这些KPIs基于过去一个交易年度内发生的事件计算得出，其中近期事件在计算中的权重高于较早发生的事件。原始KPIs为百分比数值，代表事件对金融工具价格的预期影响，由两部分构成：事件概率与条件效应。

事件概率：代表过去一年中事件发生的频率，以百分比表示。

条件效应：指某事件发生当日，其对金融市场价格较上一年度百分比变化（即回报率）的平均影响，基于过去财年数据汇总得出，以百分比表示。

数据描述：事件风险基于"[某一]单个债务或权益证券价格相对于整体市场急剧波动的概率（如收购要约或其他冲击事件）；此类事件还包括‘违约’风险（巴塞尔银行监管委员会，BCBS定义）".

Risklio方法控制系统性（市场相关）波动，仅基于异质性非系统性事件风险提供"无偏"风险度量。

方法学：Risklio美国事件风险因子采用受信用风险建模启发的创新方法，数据集包含实体特定的每日事件概率、条件事件效应及预期事件效应（基于过去交易年度滚动计算，不含当日），历史数据始于2011年。

数据内容：
- 罗素1000指数（Russell 1000）
- 映射信息：金融工具全球标识符（Figi）、复合金融工具全球标识符（CompositeFigi）、法人机构识别码（LEI）、永久标识符（permid）、国际证券识别码（ISIN）、标准行业分类代码（sic）

数据标准：
- 事件概率
- 条件事件效应（正向/负向）
- 预期事件效应（正向/负向）

应用场景：
- 优化系统性交易策略
- 校准市场风险模型
- 跟踪公司、板块及行业动态

搜集汇总

背景与挑战

背景概述

该数据集涵盖美英德三国股票的事件风险因子，通过滚动计算过去一年的事件概率、条件效应和预期效应等指标，量化证券的非系统性事件风险。数据自2011年起可追溯，适用于交易策略优化和风险模型校准等金融分析场景。