The Accuracy and Disclosure of VaR by banks : Evidence from the UK
Nassar, Dalia/D.N (2011) The Accuracy and Disclosure of VaR by banks : Evidence from the UK. [Dissertation (University of Nottingham only)] (Unpublished)
The recent global financial crises resulted in an increased attention on the risks of banks and their financial instruments. This study therefore examines the disclosure and accuracy of market risk with specific reference to the measure Value at risk (VaR) among the five major UK banks over the sample period (2002-2010) which highlights the introduction of the IFRS 7 and the recent global financial crises.
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