The level and quality of Value-at-Risk disclosure by commercial banksChristophe Pérignon, Daniel R. Smith2009-08-16articleJournal of Banking & Finance363 citationsgreenNo readable copy stored yet — this record is metadata only.Financial Risk and Volatility ModelingBanking stability, regulation, efficiencyRisk Management in Financial FirmsAbstractNo abstract was published for this record.Citations in this libraryStored only when both papers are in the corpus — 363 citations exist upstream.References1986Generalized autoregressive conditional heteroskedasticity1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts1995Techniques for Verifying the Accuracy of Risk Measurement Models2001The Regulation and Supervision of Banks around the World: A New Database2002How Accurate Are Value‐at‐Risk Models at Commercial Banks?2009Evaluating Value-at-Risk Models with Desk-Level Data2002How Informative Are Value-at-Risk Disclosures?Cited by2009Evaluating Value-at-Risk Models with Desk-Level Data2013Model uncertainty and VaR aggregation2014Uncertainty, Risk, and the Financial Crisis of 20082015Risk Committee, Firm Life Cycle, and Market Risk Disclosures2010Evaluating Value-at-Risk Models via Quantile Regression2018Risk reporting: A review of the literature and implications for future research✩2017Mean-VaR portfolio optimization: A nonparametric approach2008Developing a stress testing framework based on market risk models