Sec Market-Risk Disclosures: Enhancing Comparability

Posted: 5 Jun 2001

See all articles by Leslie D. Hodder

Leslie D. Hodder

Indiana University - Kelley School of Business - Department of Accounting

Mary Lea McAnally

Texas A&M University - Department of Accounting


In 1997, the U.S. SEC mandated through Financial Reporting Release 48 (FRR48) the disclosure of forward-looking market risk information. Because of the recency of the required risk disclosures, little has been written about them or about how analysts might use them. FRR48 allows three disclosure formats: sensitivity measures, value at risk, and a tabular format. The issue is that variations among the disclosure formats and the discretion allowed about assumptions underlying sensitivity and VAR measures may impair analysts' use of the disclosures. We demonstrate how sensitivity and VAR measures can be derived from the tabular format. Our methodology allows financial analysts to derive risk measures based on consistent assumptions among companies. Tabular data provide a common denominator by which companies may be compared and provide a means of overcoming the limitations of sensitivity and VAR measures.

JEL Classification: M41, M45, G29

Suggested Citation

Davis Hodder, Leslie D. and McAnally, Mary Lea, Sec Market-Risk Disclosures: Enhancing Comparability. Financial Analysts Journal, Vol. 57, No. 2, March/April 2001. Available at SSRN:

Leslie D. Davis Hodder

Indiana University - Kelley School of Business - Department of Accounting ( email )

1309 E. 10th Street
Bloomington, IN 47405
United States

Mary Lea McAnally (Contact Author)

Texas A&M University - Department of Accounting ( email )

430 Wehner
College Station, TX 77843-4353
United States
979-845-5017 (Phone)
979-845-0014 (Fax)

Register to save articles to
your library


Paper statistics

Abstract Views
PlumX Metrics