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| Author: | Hodder, L. McAnally, M. L. |
| Title: | SEC Market-Risk Disclosures: Enhancing Comparability |
| Journal: | Financial Analysts' Journal
2001 : MAR-APR, VOL. 57:2, p. 62-79 |
| Index terms: | RISK SENSITIVITY ANALYSIS FINANCIAL ANALYSIS |
| Language: | eng |
| Abstract: | In 1997, the U.S. SEC mandated through Financial Reporting Release No. 48 (FRR48) the disclosure of forward-looking market risk information. FRR48 allows three disclosure formats-sensitivity measures, value at risk, and a tabular format. The issue is that variations among the disclosure formats and the discretion allowed about assumptions underlying sensitivity and VAR measures may impair analysts' use of the disclosures. The authors demonstrate how sensitivity and VAR measures can be derived from the tabular format. Their methodology allows financial analysts to derive risk measures based on consistent assumptions among companies. Tabular data provide a common denominator by which companies may be compared and provide a means of overcoming the limitations of sensitivity and VAR measures. |
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