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

Review of Accounting Studies

Volumn 9, Issue 2-3, 2004, Pages 265-294

  Liu, Chi Chun ^a   Ryan, Stephen G ^b   Tan, Hung ^a  

^a NATIONAL TAIWAN UNIVERSITY   (Taiwan)

^b NEW YORK UNIVERSITY   (United States)

Author keywords

Banks; Basel committee; Derivatives; Disclosures; Market risk; Value at risk

Indexed keywords

EID: 3843113366     PISSN: 13806653     EISSN: None     Source Type: Journal    
DOI: 10.1023/b:rast.0000028190.48665.d0     Document Type: Conference Paper

References (28)

1. Ahmed, A., A. Beatty and B. Bettinghaus. (1999). "Evidence on the Efficacy of Market Risk Disclosures by Commercial Banks." Working paper, Pennsylvania State University.
2. Basel Committee on Banking Supervision. (1995). An Internal Model-Based Approach to Market Risk Capital Requirements. Basel, Switzerland: BIS.
3. Basel Committee on Banking Supervision. (1996). Amendment to the Basel Capital Accord to Incorporate Market Risk. Basel, Switzerland: BIS.
4. Basel Committee on Banking Supervision. (2002). Public Disclosures by Banks: Results of the 2000 Disclosure Survey. Basel, Switzerland: BIS.
5. Beder, T. (1995). "VAR: Seductive but Dangerous." Financial Analysts Journal 51, 12-24.
6. Berkowitz, J. and J. O'Brien. (2002). "How Accurate Are the Value-at-Risk Models at Commercial Banks?" Journal of Finance 57, 1093-1111.
7. Brav, A., R. Lehavy and R. Michaely. (2002). "Expected Return and Asset Pricing." Working paper, Duke University.
8. Chamberlain, S., J. Howe and H. Popper. (1997). "The Exchange Rate Exposure of U.S. and Japanese Banking Institutions." Journal of Banking and Finance 21, 871-892.
9. Chen, N., R. Roll and S. Ross. (1986). "Economic Forces and the Stock Market." Journal of Business 59, 383-403.
10. Choi, J., E. Elyasiani and K. Kopecky. (1992). "The Sensitivity of Bank Stock Returns to Market, Interest, and Exchange Rates." Journal of Banking and Finance 16, 983-1004.
11. Collins, D. and M. Venkatachalam. (1996). "Derivatives Disclosures and the Interest Rate Sensitivity of Commercial Banks." Working paper, University of Iowa.
12. Fama, E. and K. French. (1992). "The Cross-Section of Expected Stock Returns." Journal of Finance 47, 427-465.
13. Group of Thirty. (1993). Derivatives: Practices and Principles. New York: Group of Thirty.
14. Hodder, L. (2002). "Relevance of Market Risk Disclosures by Commercial Banks." Working paper, Stanford University.
15. Hull, J. (1997). Options, Futures, and Other Derivatives, 3rd ed. Upper Saddle River, NJ: Prentice-Hall, Inc.
16. Jorion, P. (2002). "How Informative Are Value-at-Risk Disclosures?" The Accounting Review 77, 911-931.
17. Linsmeier, T. and N. Pearson. (1997). "Quantitative Disclosures of Market Risk in the SEC Release." Accounting Horizons 11, 107-135.
18. Linsmeier, T. and N. Pearson. (2000). "Value at Risk." Financial Analysts Journal 56, 47-67.
19. Linsmeier, T., D. Thornton, M. Venkatachalam and M. Welker. (2002). "The Effect of Mandated Market Risk Disclosures on Trading Volume Sensitivity to Interest Rate, Exchange Rate, and Commodity Price Movements." The Accounting Review 77, 343-377.
20. McAnally, M. (1996). "Banks, Risk, and FAS 105 Disclosures." Journal of Accounting, Auditing, and Finance 11, 453-490.
21. Naik, N. and P. Yadav. (2000). "Do Market Intermediaries Hedge their Risk Exposures with Derivatives? Evidence from the U.K. Government Bond Dealers' Spot & Derivatives Positions." Working paper, London Business School.
22. Rajgopal, S. (1999). "Early Evidence on the Informativeness of the SEC's Market Risk Disclosures: The Case of Commodity Price Risk Exposure of Oil and Gas Producers." The Accounting Review 74, 251-280.
23. Schrand, C. (1997). "The Association Between Stock-Price Interest Rate Sensitivity and Disclosures about Derivatives Instruments." The Accounting Review 72, 87-110.
24. Securities and Exchange Commission. (1997). Disclosure of Accounting Policies for Derivative Financial Instruments and Derivative Commodity Instruments and Disclosure of Quantitative and Qualitative Information about Market Risk Inherent in Derivative Financial Instruments, Other Financial Instruments, and Derivative Commodity Instruments. Release 33-7386, FFR-48, Washington, DC: SEC.
25. Sribunnak, V. and M. Wong. (2002). "The Predictive Usefulness of the SEC Market Risk Disclosure for Stock Return Volatility." Working paper, University of Chicago.
26. Venkatachalam, M. (1996). "Value-Relevance of Banks' Derivatives Disclosures." Journal of Accounting and Economics 22, 327-355.
27. White, H. (1980). "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity." Econometrica 48, 817-838.
28. Wong, M. (2000). "The Association Between SFAS No. 119 Derivatives Disclosures and the Foreign Exchange Risk Exposure of Manufacturing Firms." Journal of Accounting Research 38, 387-417.