May a company change from one quantitative disclosure alternative to another? What must be disclosed if the company changes the parameters used in providing quantitative information?
Answer If a company changes the disclosure alternative or key model characteristics, assumptions, or parameters used in providing the quantitative information, the reasons for the change and comparable information must be provided, if material. A change from one disclosure alternative to another is presumed to be material. For example, if a company used a sensitivity analysis for its interest rate sensitive trading portfolio in prior years and adopts VAR to report the same exposure in the current year, it must present comparable information for the prior year. This can be accomplished in either of two ways. The company may present comparable VAR information for both years, or it may present sensitivity analyses for both years, along with the current VAR information.
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