Discussion of “How Banks' Value-at-Risk Disclosures Predict their Total and Priced Risk: Effects of Bank Technical Sophistication and Learning over Time” |
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Authors: | Ke Bin |
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Institution: | 1. Department of Accounting, The Smeal College of Business Administration, Pennsylvania State University, University Park, PA, 16802
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Abstract: | Liu et al. (2004, this issue) show that technical sophistication and learning over time help improve the ability of bank trading portfolios' value-at-risk (VaR) disclosures to predict future trading income risk, and that trading VaRs predict bank-wide total risk and systematic risk. While the results suggest that VaRs are a reliable measure of risk for the sample firms, the study's incremental contribution is limited because of the nature of the sample firms and problems in variable measurement. |
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