 The level and quality of Value-at-Risk disclosure by commercial banksChristophe Perignon () and Daniel Smith () Post-Print from HAL Abstract: In this paper we study both the level of Value-at-Risk (VaR) disclosure and the accuracy of the disclosed VaR figures for a sample of US and international commercial banks. To measure the level of VaR disclosures, we develop a VaR Disclosure Index that captures many different facets of market risk disclosure. Using panel data over the period 1996-2005, we find an overall upward trend in the quantity of information released to the public. We also find that Historical Simulation is by far the most popular VaR method. We assess the accuracy of VaR figures by studying the number of VaR exceedances and whether actual daily VaRs contain information about the volatility of subsequent trading revenues. Unlike the level of VaR disclosure, the quality of VaR disclosure shows no sign of improvement over time. We find that VaR computed using Historical Simulation contains very little information about future volatility. Keywords: Value-at-Risk; Disclosure; Market risk; Proprietary risk management (search for similar items in EconPapers) Published in Journal of Banking and Finance, 2010, 34 (2), pp.362-377. ⟨10.1016/j.jbankfin.2009.08.009⟩ There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00528391 DOI: 10.1016/j.jbankfin.2009.08.009 Access Statistics for this paper More papers in Post-Print from HAL |
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