How Informative are Value-at-Risk Disclosures?

By Philippe Jorion. 2002

279 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/cfae28339f0d7db920dcd29e9af79ea5a97d40ab

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Citations in the corpus

Frontiers in VaR forecasting and backtesting (2016, background): “Indeed, Jorion (2002) shows that VaR disclosures are informative about the future variability in trading revenues, thus corroborating the idea that analysts/investors may be using VaR forecasts to support investment decisions.”
Do banks overstate their Value-at-Risk? (2008, unknown): “This intuitive view is also supported by formal theoretical models showing that it can be rational for a bank to intentionally 2 For instance, Jorion (2002) shows that disclosed VaRs help to predict the variability of future revenues.”
A framework for the analysis of firm risk communication (2004, result): “Nonetheless, other findings support the usefulness of this kind of disclosure to investors (Jarion, 2002; Linsmeier, Thornton, Venkatachalam, & Welker, 2002; Rajgopol, 1999).”
Corporate Risk Reporting (2008, background): “…almost exclusively focused on quantified risk disclosure in financial statements and on specific categories of risk, especially market risk (e.g., Jorion, 2002; Linsmeier & Pearson, 1997; Rajgopal, 1999; Thornton & Welker, 2004), thereby overlooking narratives and possible interrelationships…”
The benefits of specific risk-factor disclosures (2016, unknown): “Prior work studies quantitative risk information such as VaR disclosure within the banking industry (Jorion 2002; Perignon et al. 2008) as well as quantitative market-risk disclosures (Rajgopal 1999; Thornton and Welker 2004; Linsmeier et al.”
The Nature of Accounting Information Reliability: Inferences from Archival and Experimental Research (2006, background): “Specifically, Jorion (2002) and Liu, Ryan, and Tan (2003) find that commercial banks’ quarterly value-at-risk disclosures for their trading portfolios reflect exposure to interest rate risk and are reliable indicators of volatility in one-quarter-ahead trading portfolio income.”
The Level and Quality of Value-at-Risk Disclosure by Commercial Banks (2010, unknown): “Out of the eight US banks studied by Jorion (2002a), four displayed a positive and statistically signif- icant relationship between their VaR and actual trading revenue variability.5 Our analysis differs from Jorion’s (2002a) study since we use higher frequency data, namely daily VaRs and trading…”
Aggregated, Voluntary and Mandatory Risk Disclosure Incentives: Evidence from UK FTSE All Share Companies (2013, background): “…the empirical usefulness of the SEC forms, either generally (Rajgopal, 1999) or specifically (tabular form: Hodder and McAnally, 2001 and VaR form: Linsmeier et al., 2002, and Jorion, 2002) on stock returns, share price sensitivity and prediction of variability in trading revenues and portfolios.”
How Accurate are Value-at-Risk Models at Commercial Banks (2001, unknown): “1 Jorion (2000) studies the usefulness of VaR disclosures in banks’ annual and quarterly financial”
ESG Shareholder Engagement and Downside Risk (2018, unknown): “As a second measure of downside risk, we calculate a firm’s value at risk (VaR) (Duffie and Pan, 1997; Jorion, 2002).”