劉啟群2006-07-262018-06-292006-07-262018-06-292002http://ntur.lib.ntu.edu.tw//handle/246246/184072 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.application/pdf164348 bytesapplication/pdfzh-TW國立臺灣大學會計學系暨研究所derivativesmarket risk disclosuresdisclosure regulationvalue at riskvolatilitybank sizetime horizonBasel CommitteeSECotherhttp://ntur.lib.ntu.edu.tw/bitstream/246246/18407/1/902416H002011.pdf