The value of risk reporting: a critical analysis of value-at-risk disclosures in the banking sector

Margaret Woods, Kevin Dowd, Christopher Humphrey

Research output: Contribution to journalArticle

Abstract

This paper critically reviews the evolution of financial reporting in the banking sector with specific reference to the reporting of market risk and the growing use of the measure known as Value at Risk (VaR). The paper investigates the process by which VaR became 'institutionalised'. The analysis highlights a number of inherent limitations of VaR as a risk measure and questions the usefulness of published VaR disclosures, concluding that risk 'disclosure' might be more apparent than real. It also looks at some of the implications for risk reporting practice and the accounting profession more generally.
Original languageEnglish
Pages (from-to)45-64
Number of pages20
JournalInternational Journal of Financial Services Management
Volume8
Issue number1
DOIs
Publication statusPublished - 2008

Keywords

  • 1
  • 2
  • Accounting and Finance
  • Economics and Finance Journals

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