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How Informative are Value at Risk Disclosures?
Company: Accounting Review
Year Of Publication: 2002
Month Of Publication: October
Pages: 911-931
Download Count: 1902
View Count: 9201
Comment Num: 0
Language: EN
Who Can Read: Free
Date: 9-27-2002
Publisher: Administrator
By now, Value at Risk has become a standard benchmark for measuring financial risk. Spurred by regulators and competitive pressures, more and more institutions are reporting their VaR numbres in annual and quarterly reports. The question, unanswered so far, is whether these numbers are informative for users of financial statements. This paper investigates the relationship between the trading VaR reported by a sample of US commercial banks and the subsequent variability of their trading revenues. The empirical results indicate that VaR measures offer strongly significant predictions of the variability of trading revenues. Thus VaR measures appear to be useful gauges of market risk.
Jorion, Philippe Sign in to follow this author
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