The value of risk reporting: a critical analysis of value-at-risk disclosures in the banking sector

Margaret Woods, Kevin Dowd and Christopher Humphrey

International Journal of Financial Services Management, 2008, vol. 3, issue 1, 45-64

Abstract: This paper critically reviews the evolution of financial reporting in the banking sector with specific reference to the reporting of market risk and the growing use of the measure known as Value at Risk (VaR). The paper investigates the process by which VaR became 'institutionalised'. The analysis highlights a number of inherent limitations of VaR as a risk measure and questions the usefulness of published VaR disclosures, concluding that risk 'disclosure' might be more apparent than real. It also looks at some of the implications for risk reporting practice and the accounting profession more generally.

Keywords: banking; disclosure; risk reporting; value-at-risk; financial reporting; market risk; accounting. (search for similar items in EconPapers)
Date: 2008
References: Add references at CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://www.inderscience.com/link.php?id=16698 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ids:ijfsmg:v:3:y:2008:i:1:p:45-64

Access Statistics for this article

More articles in International Journal of Financial Services Management from Inderscience Enterprises Ltd
Bibliographic data for series maintained by Sarah Parker ().