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How Informative Are Value-at-Risk Disclosures?
Abstract
Value at Risk (VAR), a measure of the dollar amount of potential loss from adverse market moves, has become a standard benchmark for measuring financial risk. Spurred by regulators and competitive pressures, more institutions are reporting VAR numbers in annual and quarterly financial reports. To provide preliminary evidence on the informativeness of these new disclosures, I investigate the relation between the trading VAR disclosed by a small sample of U.S. commercial banks and the subsequent variability of their trading revenues. The empirical results suggest that VAR disclosures are informative in that they predict the variability of trading revenues. Thus, analysts and investors can use VAR disclosures to compare the risk profiles of banks' trading portfolios.
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Research works printed but not linked: 14
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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
“…& Hussainey, 2012; Linsley & Shrives, 2006), Germany (Elshandidy & Shrives, 2016), Italy (Beretta & Bozzolan, 2004), Canada (Lajili, 2009; Lajili, & Zéghal, 2005) and the United States (Campbell, Chen, Dhaliwal, Lu, & Steele, 2014; Hope, Hu, & Lu, 2016; Jorion, 2002; Pérignon & Smith, 2010).”
Metadata
- Authors
- Jorion, P.
- Venue
- The Accounting Review
- Publisher
- American Accounting Association
- Published
- 2002-10-01
- Volume
- 77
- Issue
- 4
- Pages
- 911-931
- ISSN
- 0001-4826 (ISSN-L)
- 1558-7967
- OpenAlex
- W1991898715
- Cited by
- 258
- References
- 0
- FWCI
- 31.29
- Type
- journal article
- Language
- en
- Open access
- closed
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