Must a company electing to disclose VAR amounts provide a VAR measure of the aggregate market risk exposure in the trading and non-trading portfolios?
Answer No. VAR amounts are required for each market risk category within the trading and non-trading portfolios. No aggregate measure is required, although it is encouraged. Question 63.What types of assumptions should be disclosed regarding VAR. Answer Companies must provide a description of the model, and identify assumptions and parameters that are material to an understanding of the model and the market risk disclosures. For example, companies should disclose: 1) how “loss” is defined by the model (i.e. fair values, cash flows, or earnings), 2) the type of model used, 3) the types of instruments covered by the model, and 4) holding periods and confidence intervals.
Related Questions
- Must a company electing to disclose VAR amounts provide a VAR measure of the aggregate market risk exposure in the trading and non-trading portfolios?
- Is VAR required to depict the market risk exposure existing as of the end of the year?
- How important is it for a company to fully disclose its exposure to risk?
