Category Archives: Data

The calculation of average credit rating using ratings from three rating agencies

I was doing something in Finance and wanted to calculate the average rounded credit rating. Basically, I need to translate textual grades (e.g., AAA, Baa) to a numerical value. I found a clue in the following paper: Becker, B., and … Continue reading

Posted in Data | 1 Comment

Use Python to download data from the DTCC’s Swap Data Repository

I helped my friend to download data from the DTCC’s Swap Data Repository. I am not familiar with the data and just use this as a programming practice. This article gives an introduction to the origin of the data: http://www.dtcc.com/news/2013/january/03/swap-data-repository-real-time The … Continue reading

Posted in Data, Python | Leave a comment

Download FR Y-9C data from WRDS

WRDS currently populates FR Y-9C data quarter by quarter in individual datasets, like BHCF200803, BHCF200806, BHCF200809 and so on. WRDS has not stacked those individual datasets to formulate a single time-series dataset like COMPUSTAT. There are two ways to overcome … Continue reading

Posted in Data, SAS | 2 Comments

Use Python to download TXT-format SEC filings on EDGAR (Part II)

As I said in the post entitled “Part I“, we have to do two steps in order to download SEC filings on EDGAR: Find paths to raw text filings; Select what we want and bulk download from the EDGAR FTP server using … Continue reading

Posted in Data, Python | 42 Comments

EDGAR index files in Stata dataset (from 1993 Q1 to March 2, 2017)

SEC makes all EDGAR filings publicly available. We can download all 10-Ks, 10-Qs, 8-Ks filed since 1993. However, SEC makes this far away from just a few mouse clicks (in order to reduce the server load and avoid the possible abuse … Continue reading

Posted in Data | 6 Comments

Link RSSD with PERMCO

If you are working on bank holding company data, such as FR-Y9C, you may need to link the unique identifier (RSSD) in the data to the unique identifier (PERMCO) in CRSP. Federal Reserve Bank of New York provides such a … Continue reading

Posted in Data | 4 Comments

Use Python to download TXT-format SEC filings on EDGAR (Part I)

Update on October 6, 2018: As I acknowledged in the very first edition of this post, I borrowed some codes from Edouard Swiac’s Python module “python-edgar” (version: 1.0). Edouard kindly informed me that he had updated his module (see his GitHub page). … Continue reading

Posted in Data, Python | 61 Comments