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Post by Sapphire Capital on Jan 16, 2009 23:00:09 GMT 4
The Value of Risk Reporting: A Critical Analysis of Value at Risk Disclosures in the Banking Sector Margaret Woods University of Nottingham - Nottingham University Business School (NUBS) October 22, 2008 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 utilisation 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. papers.ssrn.com/sol3/papers.cfm?abstract_id=1288204
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