在經過各種機構包括BASEL以及美國SEC的大力推動之後，風險值(value-at-risk)已經成為公司揭露其風險管理之重要工具之一，先前的研究多半著重於檢驗風險值揭露與下一期公司所面對的預期外所得之關係，由此可以檢驗風險值的準確性；其中一些研究更進一步加入使用時間及公司的成熟度來檢驗對上述關係之影響。本研究更進一步嘗試找到更多會影響風險值揭露的重要因素，其中包括公司的槓桿程度以及風險值的計算方法。由於銀行產業對於風險程度的高敏感程度，故本研究選用美國前十四大銀行。更值得一提的是，由於先前的研究都著重於檢驗風險值揭露與下一期公司預期外所得之間關係的顯著程度，藉此來判定風險值的可靠性，但並未加入風險值與下一期公司預期外所得之差異程度，而低估的風險值便被視為錯誤的揭露。本研究試圖加入風險值超出程度的概念，並且更擴大錯誤揭露的概念，將高估與低估都納入檢驗範圍。研究結果顯示，對於檢察風險值的正確程度，考慮風險值不準確之程度是有用的；希望在投資人與審查者在觀察銀行揭露的風險值時，此研究能提供更多的幫助。

Value-at-Risk has become a very popular tool to disclose firms’ risk management after strong recommendations from authorities like Basel Committee and SEC. Many research tend to find the relationship between VaR disclosed numbers and next quarter’s unexpected trading revenue in order to test if VaR is predictable. Some of these research start implementing different criteria like sophistication, using time, and calculating method to separate subgroups and testify if there are different relations. This paper also investigates those criteria and tries to find another strong criterion, therefore, the leverage level of banks is added as another criterion. We select 14 largest banks in United States, and the reason is that banking industry requires dedicate risk management due to its characteristic. Besides, previous research usually focus on the significance of relation between VaR and unexpected trading revenue, but not the extent of VaR violations, and regard only underestimated VaR as incorrect ones. This paper tries to include the idea of extent and ratio of violations, and also stretches out the definition of inaccuracy including both overestimated and underestimated VaR. And the result shows that the consideration of extent on both directions is very helpful on emphasizing on the informativeness of VaR. I hope that this research is able to give investors and regulators a more detailed guide while they observe VaR disclosed by commercial banks.

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