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

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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.

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References

  • Basel Committee on Banking Supervision. (2002). Public Disclosures by Banks: Results of the 2000 Disclosure Survey. Basel, Switzerland: BIS.

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  • Liu, C.-C., S. G. Ryan and H. Tan. (2004). “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, this issue.

  • Sribunnak, V. and M. Wong. (2002). “The Predictive Usefulness of the SEC Market Risk Disclosure for Stock Return Volatility.” Working paper, University of Chicago.

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Authors and Affiliations

  1. Department of Accounting, The Smeal College of Business Administration, Pennsylvania State University, University Park, PA, 16802

    Bin Ke

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  1. Bin Ke
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Ke, B. Discussion of “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 9, 295–299 (2004). https://doi.org/10.1023/B:RAST.0000028191.05396.0f

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  • DOI: https://doi.org/10.1023/B:RAST.0000028191.05396.0f

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