Evaluating different Value-at-Risk calculation methods: Are the Hong Kong Listed Banks’Market Risk Disclosures consistent with the performance?Tools Yuen, Lok Hin David (2011) Evaluating different Value-at-Risk calculation methods: Are the Hong Kong Listed Banks’Market Risk Disclosures consistent with the performance? [Dissertation (University of Nottingham only)] (Unpublished)
AbstractThis paper studies the quality of Hong Kong listed banks’ market risk Value-at-Risk (VaR) disclosure; of which the Hong Kong stock market contains the diversity of Chinese state-owned banks, international banks with English history, and some Hong Kong local banks. Therefore, focusing on the Hong Kong stock market allows the comparison on the disclosure quality between the three. While the banks usually do not provide the disclosed VaRs with details on their internal estimation model and the actual accuracy of the estimation; this paper aims to (1) replicate the banks’ Value-at-Risk and apply the backtesting on the estimated VaR; and (2) compare the estimated VaR under the selected model with the VaR disclosed in banks’ publicly disclosed information.
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