An empirical investigation of the quality of value-at-risk disclosure in Australia
Description
We study the level and quality of value-at-risk (VaR) disclosure at Australian banks. We find that Australian banks have increased disclosure about their VaR recently, reaching a level post-crisis that is similar to other regulatory jurisdictions. We find that the actual VaR estimates produced by banks are generally rejected by standard backtesting procedures. During quiet periods bank VaRs are too high, while during high volatility stress periods bank VaRs are too low. We are able to reject the null hypothesis that the daily VaRs for two banks are the 1st percentile using a quantile regression-based test.
Impact and interest:
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ID Code: | 213784 | ||
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Item Type: | Contribution to Journal (Journal Article) | ||
Refereed: | Yes | ||
ORCID iD: |
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Measurements or Duration: | 23 pages | ||
Keywords: | Banking, Quantile regression, Risk management, Value-at-risk | ||
DOI: | 10.1111/acfi.12795 | ||
ISSN: | 0810-5391 | ||
Pure ID: | 99538632 | ||
Divisions: | Current > QUT Faculties and Divisions > Faculty of Business & Law Current > Schools > School of Economics & Finance |
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Copyright Owner: | 2021 Accounting and Finance Association of Australia and New Zealand | ||
Copyright Statement: | This work is covered by copyright. Unless the document is being made available under a Creative Commons Licence, you must assume that re-use is limited to personal use and that permission from the copyright owner must be obtained for all other uses. If the document is available under a Creative Commons License (or other specified license) then refer to the Licence for details of permitted re-use. It is a condition of access that users recognise and abide by the legal requirements associated with these rights. If you believe that this work infringes copyright please provide details by email to qut.copyright@qut.edu.au | ||
Deposited On: | 12 Oct 2021 01:48 | ||
Last Modified: | 30 May 2024 17:02 |
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