Optimal Value-at-Risk Disclosure

A mathematical dynamic portfolio model with uncertainty is discussed by use of value-at-risks. The risk criterion is composed by the sum of unexpected shortterm risks which occur suddenly in each period. By dynamic programming approach, we derive an optimality condition for the optimal value-at-risk portfolio in a stochastic decision process. It is shown that the optimal value-at-risk is a solution of the optimality equation under a reasonable assumption, and an optimal trading strategy is obtained from the equation. A numerical example is given to illustrate our idea.

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Evaluasi Kualitas Pengungkapan Value at Risk Perbankan Indonesia

Jurnal Ilmiah Akuntansi dan Bisnis ◽

10.24843/jiab.2019.v14.i02.p12 ◽

2019 ◽

pp. 276

Author(s):

Buddi Wibowo ◽

Hasna Fadhila

Keyword(s):

At Risk ◽

Value At Risk ◽

Simulation Method ◽

Market Risk ◽

Risk Measurement ◽

Risk Level ◽

Risk Disclosure ◽

Historical Simulation ◽

Risk Disclosures

Market risk measurement of bank investment portfolios is a still problem not only among practitioners, but also among academicians. The accuracy and quality of market risk disclosures are important issues because transparency of the bank risk level encourages market control in the form of market discipline and it also improve the quality of risk management carried out internally by the bank. This research measures the quality of Value at Risk disclosures carried out by Indonesian banks. The accuracy of Value at Risk in this research is measured from the Value at Risk component which contains information of yield volatility of bank trading treasury activities. To measure Value at Risk disclosure, this research runs various methods of Value at Risk measurement. This research shows Historical Simulation is a Value at Risk method that is most widely used by Indonesia banks. The empirical test results show that the Value at Risk parametric method using asymmetric volatility have better quality than the Value at Risk Historical Simulation method. This research shows that Value at Risk as measured by Historical Simulation method contains the least information of bank trading treasury yields. Keywords: value at risk; disclosure; market risk; volatility

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Extremwerttheorie und Value-at-Risk

WiSt - Wirtschaftswissenschaftliches Studium ◽

10.15358/0340-1650-2015-5-259 ◽

2015 ◽

Vol 44 (5) ◽

pp. 259-267

Author(s):

Frank Schuhmacher ◽

Benjamin R. Auer

Keyword(s):

At Risk ◽

Value At Risk

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