How banks' value-at-risk disclosures predict their total and priced risk: Effects of bank technical sophistication and learning over time

• 成果类型: Article; Proceedings Paper
• 署名作者: Liu, CC; Ryan, SG; Tan, H
• 署名单位: National Taiwan University; New York University
• 刊物名称: REVIEW OF ACCOUNTING STUDIES
• ISSN/ISSBN: 1380-6653
• DOI: 10.1023/B:RAST.0000028190.48665.d0
• 发表日期: 2004
• 页码: 265-294
• 关键词: exchange-rate; sensitivity; exposure; MARKET; association

摘要

Using a sample of eight large commercial banks from 1994 to 2000, Jorion (2002) finds that banks' VaR disclosures for their trading portfolios predict trading income variability. We extend Jorion's findings wing a larger sample of 17 banks from 1997 to 2002 reporting trading VaRs under FRR No. 48 (1997). W find that banks' trading VaRs have predictive power for trading income variability that increases with bank technical sophistication and over time. We find that banks' trading VaRs have predictive power for a bank-wide measure of total risk, return variability, and for two bank-wide measures of priced risk, beta and realized returns.