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- W2032439968 abstract "This paper is the first empirical study of banks' risk management systems based on non-anonymous daily Value-at-Risk (VaR) and profit-and-loss data. Using actual data from the six largest Canadian commercial banks, we uncover evidence that banks exhibit a systematic excess of conservatism in their VaR estimates. The data used in this paper have been extracted from the banks' annual reports using an innovative Matlab-based data extraction method. Out of the 7,354 trading days analyzed in this study, there are only two exceptions, i.e., days when the actual loss exceeds the disclosed VaR, whereas the expected number of exceptions with a 99% VaR is 74. For each sample bank, we extract from historical VaRs a risk-overstatement coefficient, ranging between 19% and 79%. We attribute VaR overstatement to several factors, including extreme cautiousness and underestimation of diversification effects when aggregating VaRs across business lines and/or risk categories. We also discuss the economic and social cost of reporting inflated VaRs." @default.
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- W2032439968 date "2007-01-01" @default.
- W2032439968 modified "2023-10-03" @default.
- W2032439968 title "Do Banks Overstate Their Value-at-Risk?" @default.
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- W2032439968 doi "https://doi.org/10.2139/ssrn.929750" @default.
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