The DOI matches its Crossref record; 11 of the 11 references it cites were found in a registry or an index.
The level and quality of Value-at-Risk disclosure by commercial banks
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Citations
Cites
Generalized autoregressive conditional heteroskedasticity
Bollerslev, T. (1986) · Journal of Econometrics · doi:10.1016/0304-4076(86)90063-1 · Cited by 22,254
Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts
Andersen, T. G., & Bollerslev, T. (1998) · International Economic Review · doi:10.2307/2527343 · Cited by 3,375
Techniques for Verifying the Accuracy of Risk Measurement Models
Kupiec, P. H. (1995) · The Journal of Derivatives · doi:10.3905/jod.1995.407942 · Cited by 2,427
The Regulation and Supervision of Banks around the World: A New Database
Barth, J. R., Caprio, G., & Levine, R. (2001) · Brookings-Wharton Papers on Financial Services · doi:10.1353/pfs.2001.0003 · Cited by 633
Another Look at Models of the Short-Term Interest Rate
Brenner, R. J., Harjes, R. H., & Kroner, K. F. (1996) · The Journal of Financial and Quantitative Analysis · doi:10.2307/2331388 · Cited by 305
How Informative Are Value-at-Risk Disclosures?
Jorion, P. (2002) · The Accounting Review · doi:10.2308/accr.2002.77.4.911 · Cited by 258
Value at risk and the cross-section of hedge fund returns
Bali, T. G., Gokcan, S., & Liang, B. (2007) · Journal of Banking & Finance · doi:10.1016/j.jbankfin.2006.10.005 · Cited by 170
Developing a stress testing framework based on market risk models
Alexander, C., & Sheedy, E. A. (2008) · Journal of Banking & Finance · doi:10.1016/j.jbankfin.2007.12.041 · Cited by 145
Effect of SEC Financial Reporting Release No. 48 on Derivative and Market Risk Disclosures
Roulstone, D. T. (1999) · Accounting Horizons · doi:10.2308/acch.1999.13.4.343 · Cited by 127
Do Banks Overstate Their Value-at-Risk?
Pérignon, C., Deng, Z. Y., & Wang, Z. J. (2007) · Journal of Banking & Finance · doi:10.1016/j.jbankfin.2007.05.014 · Cited by 119
Self-citation
Cited by
Consumer credit-risk models via machine-learning algorithms
Khandani, A. E., Kim, A. J., & Lo, A. W. (2010) · Journal of Banking & Finance · doi:10.1016/j.jbankfin.2010.06.001 · Cited by 864
Evaluating Value-at-Risk Models with Desk-Level Data
Berkowitz, J., Christoffersen, P., & Pelletier, D. (2011) · Management Science · doi:10.1287/mnsc.1080.0964 · Cited by 362
Risk reporting: A review of the literature and implications for future research✩
Elshandidy, T., Shrives, P. J., Bamber, M., & Abraham, S. (2018) · Journal of Accounting Literature · doi:10.1016/j.acclit.2017.12.001 · Cited by 166
Baan Wahh, W., Wong Sek Khin, E., & Abdullah, M. (2020) · Asian Journal of Accounting Perspectives · doi:10.22452/ajap.vol13no2.2 · Cited by 7
Metadata
- Authors
- Pérignon, C., & Smith, D. R.
- Venue
- Journal of Banking & Finance
- Publisher
- Elsevier BV
- Published
- 2010-02
- Volume
- 34
- Issue
- 2
- Pages
- 362-377
- ISSN
- 0378-4266 (ISSN-L)
- OpenAlex
- W1575807953
- Cited by
- 362
- References
- 11
- FWCI
- 39.78
- Type
- journal article
- Language
- en
- Open access
- green
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- Pérignon, C., & Smith, D. R. (2010). The level and quality of Value-at-Risk disclosure by commercial banks. Journal of Banking & Finance. https://doi.org/10.1016/j.jbankfin.2009.08.009
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
