Title: The value of risk reporting: a critical analysis of value-at-risk disclosures in the banking sector

Authors: Margaret Woods, Kevin Dowd, Christopher Humphrey

Addresses: Nottingham University Business School, Jubilee Campus, Wollaton Road, Nottingham, NG8 1RB, UK. ' Nottingham University Business School, Jubilee Campus, Wollaton Road, Nottingham, NG8 1RB, UK. ' Manchester Business School, University of Manchester, Booth Street West, Manchester, M15 6PB, UK

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 use 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; disclosure; risk reporting; value-at-risk; financial reporting; market risk; accounting.

DOI: 10.1504/IJFSM.2008.016698

International Journal of Financial Services Management, 2008 Vol.3 No.1, pp.45 - 64

Published online: 16 Jan 2008 *

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