The Value of Risk Reporting: A Critical Analysis of Value at Risk Disclosures in the Banking Sector

International Journal of Financial Services Management, Vol. 8, No. 1, pp. 45-64, 2008

20 Pages Posted: 24 Oct 2008 Last revised: 9 Mar 2009

See all articles by Margaret Woods

Margaret Woods

Aston Business School

Kevin Dowd

Nottingham University Business School (NUBS)

Christopher Humphrey

University of Manchester - Division of Accounting and Finance

Date Written: 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.

Keywords: banking, value-at -risk, disclosure, risk reporting

JEL Classification: G21, M41, N20

Suggested Citation

Woods, Margaret and Dowd, Kevin and Humphrey, Christopher, The Value of Risk Reporting: A Critical Analysis of Value at Risk Disclosures in the Banking Sector (October 22, 2008). International Journal of Financial Services Management, Vol. 8, No. 1, pp. 45-64, 2008. Available at SSRN: https://ssrn.com/abstract=1288204

Margaret Woods (Contact Author)

Aston Business School ( email )

Aston Business School
Aston Triangle
Birmingham, B4 7ET
United Kingdom

Kevin Dowd

Nottingham University Business School (NUBS) ( email )

Jubilee Campus
Wollaton Road
Nottingham, NG8 1BB
United Kingdom

Christopher Humphrey

University of Manchester - Division of Accounting and Finance ( email )

Crawford House
Oxford Road
Manchester M13 9PL
United Kingdom

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