Discussion of “How Banks' Value-at-Risk Disclosures Predict their Total and Priced Risk: Effects of Bank Technical Sophistication and Learning over Time”

Bin Ke ()
Additional contact information
Bin Ke: Pennsylvania State University

Review of Accounting Studies, 2004, vol. 9, issue 2, No 9, 295-299

Abstract: Abstract Liu et al. (2004, this issue) show that technical sophistication and learning over time help improve the ability of bank trading portfolios' value-at-risk (VaR) disclosures to predict future trading income risk, and that trading VaRs predict bank-wide total risk and systematic risk. While the results suggest that VaRs are a reliable measure of risk for the sample firms, the study's incremental contribution is limited because of the nature of the sample firms and problems in variable measurement.

Keywords: value at risk; disclosures; banks (search for similar items in EconPapers)
Date: 2004
References: Add references at CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1023/B:RAST.0000028191.05396.0f Abstract (text/html)
Access to the full text of the articles in this series is restricted.

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:spr:reaccs:v:9:y:2004:i:2:d:10.1023_b:rast.0000028191.05396.0f

Ordering information: This journal article can be ordered from
http://www.springer.com/accounting/journal/11142

DOI: 10.1023/B:RAST.0000028191.05396.0f

Access Statistics for this article

Review of Accounting Studies is currently edited by Paul Fischer

More articles in Review of Accounting Studies from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().