Discussion of how banks' value-at-risk disclosures predid their total and priced risk: Effects of bank technical sophistication and learning over time
成果类型：
Editorial Material
署名作者：
Ke, B
署名单位：
Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
刊物名称：
REVIEW OF ACCOUNTING STUDIES
ISSN/ISSBN：
1380-6653
DOI：
10.1023/B:RAST.0000028191.05396.0f
发表日期：
2004
页码：
295-299
关键词：
摘要：
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.
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