This paper is a self-contained introduction to the concept and methodology of "value at risk," which is a new tool for measuring an entity's exposure to market risk. We explain the concept of value at risk, and then describe in detail the three methods for computing it: historical simulation;...

This paper is a self-contained introduction to the concept and methodology of "value at risk," which is a new tool for measuring an entity's exposure to market risk. We explain the concept of value at risk, and then describe in detail the three methods for computing it: historical simulation;...

This paper is a self-contained introduction to the concept and methodology of "value at risk," which is a new tool for measuring an entity's exposure to market risk. We explain the concept of value at risk, and then describe in detail the three methods for computing it: historical simulation;...

Research on decision-making behavior has shown that decision strategies used by individuals are contingent upon the characteristics of the task. For example, as the task size (i.e., the number of alternatives and/or the number of dimensions describing each alternative) increases, individuals...

This paper examines whether mandated market risk disclosures under the SEC Financial Reporting Release No. 48 (FRR 48) provide useful information to investors regarding firms' risk exposures. To provide evidence on this issue we investigate whether the SEC disclosures reduce investor uncertainty...

This paper uses a trading volume analysis to examine the extent to which SEC-mandated disclosures make firms' market risk exposures more transparent to investors. We hypothesize that if the SEC's quantitative market risk disclosures reduce investor disagreements about firms' risk exposures,...

Many have argued that financial statements created under an accounting model that measures financial instruments at fair value would not fairly represent a bank's business model. In this study we examine whether financial statements using fair values for financial instruments better describe...