美國財務會計準則公報119號數量性揭露VAR預測美國商業銀行利率風險之有用性
Date Issued
2002
Date
2002
Author(s)
DOI
902416H002011
Abstract
2
Abstract
Jorion (2002) documents that the VAR numbers publicly disclosed by 8 major
banks are informative to predict subsequent fluctuations in banks ’ trading revenues.
Using a relatively larger sample of U.S. commercial banks, this paper investigates (1)
whether the quarterly-average VAR disclosures are associated with the variability of
current trading revenues and returns (i.e., validation or assessment of VAR statistical
accuracy) and (2) whether the end-quarter VAR disclosures are useful to predict the
variability of future trading revenues and returns (i.e., predictive value of VAR). The
empirical results support that the quarterly average (end-quarter) VAR disclosures
provide incremental information for assessing (predicting) the volatility of current
(future) trading revenues and returns. Furthermore, since the models estimating VAR
numbers involve many different risk measurement methods and assumptions, we
argue that larger banks tend to exhibit greater professional expertise and more
resources of money, and banks are able to improve their VAR models through
learning over time. In other words, we hypothesize that banks size and time horizons
significantly affect the accuracy of predicting and assessing power of VAR disclosures.
Consistent with the hypotheses, we find that the predictive and assessing powers of
the VAR measures are better in the later period than early years, and the VAR
disclosures of bigger banks have better predictive and assessing powers than smaller
banks.
Subjects
derivatives
market risk disclosures
disclosure regulation
value at risk
volatility
bank size
time horizon
Basel Committee
SEC
Publisher
臺北市：國立臺灣大學會計學系暨研究所
Type
other
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