摘要：Market risk measurement of bank investment portfolios is a still problem notonly among practitioners, but also among academicians. The accuracy andquality of market risk disclosures are important issues because transparencyof the bank risk level encourages market control in the form of marketdiscipline and it also improve the quality of risk management carried outinternally by the bank. This research measures the quality of value at riskdisclosures carried out by Indonesian banks. The accuracy of value at risk inthis research is measured from the value at risk component which containsinformation of yield volatility of bank trading treasury activities. To measurevalue at risk disclosure, this research runs various methods of value at riskmeasurement. This research shows historical simulation is a value at riskmethod that is most widely used by Indonesia banks. The empirical test resultsshow that the value at riskparametric method using asymmetric volatilityhave better quality than the value at risk historical simulation method. Thisresearch shows that value at risk as measured by Historical Simulation methodcontains the least information of bank trading treasury yield.
其他摘要：Pengukuran risiko pasar portfolio bank masih menjadi masalah bagi praktisidan akademisi. Akurasi dan kualitas pengungkapan risiko pasar menjadi isupenting. Transparansi tingkat risiko mendorong kontrol pasar berupa disiplinpasar. Peningkatan kualitas mana
关键词：Value at risk; disclosure; market risk; volatility
其他关键词：Value at risk; pengungkapan; risiko pasar; volatilitas
