We study the level and quality of value-at-risk (VaR) disclosure at Australian banks. We find that Australian banks have increased disclosure about their VaR recently, reaching a level post-crisis that is similar to other regulatory jurisdictions. We find that the actual VaR estimates produced by banks are generally rejected by standard backtesting procedures. During quiet periods bank VaRs are too high, while during high volatility stress periods bank VaRs are too low. We are able to reject the null hypothesis that the daily VaRs for two banks are the 1st percentile using a quantile regression-based test.

中文翻译：

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澳大利亚风险价值披露质量的实证调查

我们研究了澳大利亚银行风险价值 (VaR) 披露的水平和质量。我们发现澳大利亚银行最近增加了对其风险价值的披露，达到了与其他监管管辖区相似的危机后水平。我们发现银行产生的实际风险价值估计通常被标准回测程序拒绝。在平静时期，银行 VaR 太高，而在高波动压力时期，银行 VaR 太低。我们能够拒绝零假设，即两家银行的每日 VaR 是第一个百分位数，使用基于分位数回归的检验。