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RESEARCH PRODUCT
Market risk disclosure in banking: an empirical analysis on four global systemically important European banks
Enzo ScannellaSalvatore Polizzisubject
Economics and Econometrics050208 financeActuarial sciencebusiness.industrySettore SECS-P/11 - Economia Degli Intermediari Finanziari05 social sciencesmarket risk risk reporting risk disclosure banking financial regulation risk management.Financial risk managementSample (statistics)050201 accountingIT risk managementFinancial regulationEmpirical researchMarket risk0502 economics and businessBusinessFinanceRisk managementdescription
Market risk reporting in banking has assumed such importance during the last decade. The purpose of this paper is to provide a methodology to evaluate the qualitative and quantitative profiles of the market risk disclosure in banking. We propose a hybrid methodology to assess whether or not banks are able to provide a satisfactory degree of information about the market risks they are exposed to. In this paper, we conduct an empirical research of market risk disclosure on a sample of four global systemically important European banks. The paper provides evidences that banks differ in their market risk reporting models, even though they are subject to similar regulatory requirements and accounting standards. The paper also generates some useful insights for further research.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2017-02-20 |