Matches in SemOpenAlex for { <https://semopenalex.org/work/W3041014429> ?p ?o ?g. }
Showing items 1 to 61 of
61
with 100 items per page.
- W3041014429 abstract "The financial crisis of 2008 led to devastating consequences such as bankruptcies and recession in the US economy. Many big banks were at the forefront owing to their risk exposures and open positions. Prior research documents that bank financial statements did not provide adequate lead indicators on the looming crisis in reducing information asymmetry. However, there is no prior research focused on the sufficiency of risk disclosures around this time period. This paper seeks to address this gap using Bank Value at Risk (VAR), a single number publicly disclosed in the annual reports of banks. Bank VAR attempts to quantify the worst possible loss the bank expects to have on its trading portfolios under normal market conditions. Using hand-collected data from the annual reports of the top twelve US banks, this study documents that the change in VAR was steady and positive until the point of the crisis and then decreased in the years thereafter. A repeated-measures analysis of variance model is used to study whether two indicators of VAR (year-to-year change in VAR and log-transformed ratio of VAR to the total trading revenue) differ from pre-crisis to the post-crisis levels. Both VAR indicators reveal an increasing trend pre-crisis and are significantly higher pre-crisis compared to post-crisis. This opens the possibility that the trend of VAR might have information content as a potential leading indicator of the crisis. The finding sheds light on efficacy of risk analysis in bank trading portfolios and could have implications for governance." @default.
- W3041014429 created "2020-07-16" @default.
- W3041014429 creator A5043384367 @default.
- W3041014429 date "2020-07-10" @default.
- W3041014429 modified "2023-10-01" @default.
- W3041014429 title "Bank Value at Risk (VAR) disclosures. A missed leading indicator to the Financial Crisis of 2008?" @default.
- W3041014429 doi "https://doi.org/10.5430/afr.v9n3p1" @default.
- W3041014429 hasPublicationYear "2020" @default.
- W3041014429 type Work @default.
- W3041014429 sameAs 3041014429 @default.
- W3041014429 citedByCount "0" @default.
- W3041014429 crossrefType "journal-article" @default.
- W3041014429 hasAuthorship W3041014429A5043384367 @default.
- W3041014429 hasBestOaLocation W30410144291 @default.
- W3041014429 hasConcept C10138342 @default.
- W3041014429 hasConcept C119857082 @default.
- W3041014429 hasConcept C121955636 @default.
- W3041014429 hasConcept C139719470 @default.
- W3041014429 hasConcept C144133560 @default.
- W3041014429 hasConcept C162324750 @default.
- W3041014429 hasConcept C195487862 @default.
- W3041014429 hasConcept C195742910 @default.
- W3041014429 hasConcept C196083921 @default.
- W3041014429 hasConcept C2776291640 @default.
- W3041014429 hasConcept C2778300220 @default.
- W3041014429 hasConcept C32896092 @default.
- W3041014429 hasConcept C41008148 @default.
- W3041014429 hasConcept C73283319 @default.
- W3041014429 hasConcept C94128290 @default.
- W3041014429 hasConceptScore W3041014429C10138342 @default.
- W3041014429 hasConceptScore W3041014429C119857082 @default.
- W3041014429 hasConceptScore W3041014429C121955636 @default.
- W3041014429 hasConceptScore W3041014429C139719470 @default.
- W3041014429 hasConceptScore W3041014429C144133560 @default.
- W3041014429 hasConceptScore W3041014429C162324750 @default.
- W3041014429 hasConceptScore W3041014429C195487862 @default.
- W3041014429 hasConceptScore W3041014429C195742910 @default.
- W3041014429 hasConceptScore W3041014429C196083921 @default.
- W3041014429 hasConceptScore W3041014429C2776291640 @default.
- W3041014429 hasConceptScore W3041014429C2778300220 @default.
- W3041014429 hasConceptScore W3041014429C32896092 @default.
- W3041014429 hasConceptScore W3041014429C41008148 @default.
- W3041014429 hasConceptScore W3041014429C73283319 @default.
- W3041014429 hasConceptScore W3041014429C94128290 @default.
- W3041014429 hasLocation W30410144291 @default.
- W3041014429 hasOpenAccess W3041014429 @default.
- W3041014429 hasPrimaryLocation W30410144291 @default.
- W3041014429 hasRelatedWork W10883001 @default.
- W3041014429 hasRelatedWork W10977030 @default.
- W3041014429 hasRelatedWork W14987699 @default.
- W3041014429 hasRelatedWork W22490832 @default.
- W3041014429 hasRelatedWork W25193074 @default.
- W3041014429 hasRelatedWork W28981934 @default.
- W3041014429 hasRelatedWork W3217416 @default.
- W3041014429 hasRelatedWork W35432571 @default.
- W3041014429 hasRelatedWork W39734247 @default.
- W3041014429 hasRelatedWork W619044 @default.
- W3041014429 isParatext "false" @default.
- W3041014429 isRetracted "false" @default.
- W3041014429 magId "3041014429" @default.
- W3041014429 workType "article" @default.