Search results for " risk disclosure"

Market risk reporting in banking overcoming the limits of IAS/IFRS and Basel regulation

2017

Market risk in banking activity is becoming a more severe issue day by day for several reasons. Analysing it from a regulatory point of view is fundamental for assessing whether or not banks are in the conditions of disclosing a satisfactory degree of information about their market risk exposure. The two regulatory constraints to consider are International Accounting Standards (IAS/IFRS) and the Basel regulation. Both of them seem to put too many constraints on banks. They turn out to be over-over-regulated. Even if regulators put many efforts in trying to provide a useful regulation for banks' risk reporting and capital adequacy, we are still far from a good regulation. The regulatory proc…

Derivative Disclosure Practices in the Annual Financial Reporting of Large European Banks: A Cross-country Empirical Study

2018

The topic of this paper is derivative reporting in banking. The authors employ content analysis to conduct an empirical study on a sample of large European banks. The research aims to assess the qualitative and quantitative profiles of derivative disclosure in banking institutions. The paper provides evidences that banks differ in their derivative reporting, even though they are subject to similar regulatory requirements and accounting standards. The paper also shows that there is room to improve various aspects of derivatives disclosure in banking.

Market Risk Disclosure in Banks’ Balance Sheet and Pillar 3 Report: the Case of Italian Banks

2018

The aim of this chapter is to investigate market risk disclosure in banking. The author employs content analysis to conduct an empirical study on a sample of the ten largest Italian banks. The study provides evidence that banks differ in their market risk reporting, even though they are subject to similar regulatory requirements and accounting standards. It also shows that there is room to improve various aspects of risk disclosure, and provides some useful insights for further research. The structure of this chapter is as follows. Section 1 introduces market risk disclosure in banking. Section 2 provides the theoretical foundations of risk disclosure. Section 3 analyses the specific nature…

How to measure bank credit risk disclosure? Testing a new methodological approach based on the content analysis framework

2020

AbstractRisk disclosure is a crucial factor in enhancing the efficiency of financial markets and promoting financial stability. This paper proposes a methodological tool to analyze credit risk disclosure in bank financial reports, based on the content analysis framework. The authors also uses this methodology to carry out an empirical study on a small sample of large Italian banks. The paper provides preliminary empirical evidence that banks differ in their credit risk disclosure, even though they are subject to homogeneous regulatory and accounting requirements. Furthermore, by carrying out a correlation-based network analysis, the paper provides preliminary evidence on the existence of a …

Do Large European Banks Differ in their Derivative Disclosure Practices? A Cross-country Empirical Study.

2019

Risk disclosure has strategic importance for the efficiency of financial markets and overall financial stability. It plays a pivotal role in strengthening market discipline and building trust to improve relationships with stakeholders in banking. Risk reporting has taken a growing importance in banking over the last years. The topic of this paper is derivative reporting in banking. The authors employ content analysis to conduct an empirical study on a sample of large European banks. The authors propose a hybrid scoring model for the assessment of derivative disclosure in banking institutions. The methodology employed in this research is able to capture a considerable amount of information b…

Credit Risk Disclosure Practices in the Annual Financial Reporting of Large Italian Banks

2019

Risk disclosure in banking is particularly important for the efficacy of market discipline, the assessment of bank performance, the efficiency of the financial market, and the overall stability of the financial system. The European banking union and the financial crisis have enhanced the strategic role of credit risk disclosure in banking. The topic of this chapter is the evaluation of credit risk disclosure practices in banks’ annual financial reporting. The empirical research is conducted on a sample of ten large Italian banks. The authors employ content analysis and provide a hybrid scoring model for the assessment of credit risk disclosure. The chapter provides empirical findings which …

How Banks Disclose Market Risk Information: an Empirical Analysis on a Sample of Italian Banks.

The topic of this paper is market risk reporting in banking, and its purpose is to provide a methodology to evaluate the qualitative and quantitative profiles of market risk disclosure. This methodology, based on a hybrid scoring approach, aims to assess the market risk disclosure in banking. In this paper, I use content analysis to conduct an empirical research on a sample of Italian banks. The paper provides evidences that banks differ in their market risk reporting, even though they are subject to similar regulatory requirements and accounting standards. The paper also shows that there is room to improve various aspects of market risk disclosure.

Market risk disclosure in banking: an empirical analysis on four global systemically important European banks

2017

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 accoun…

Credit derivatives disclosure in banks’ risk reporting: Empirical evidence from four large European banks

2019

This paper aims to analyze the derivatives disclosure in banks’ annual risk reports. In this paper, the author uses content analysis to examine the qualitative and quantitative profiles of the derivatives disclosure at a cross-country level, with particular reference to credit derivatives. The empirical research is conducted on a sample of large European banks. The paper also shows that there is room to improve various aspects of derivatives disclosure, and provides some useful insights for further research. The derivatives disclosure in banks’ annual risk reports has deep managerial, financial, regulatory and accounting implications at a firm and industry levels, and the comprehension of t…

Credit Risk Disclosure Practices in the Annual Financial Reporting of Large Italian Banks: An Empirical Study

2018

The purpose of this paper is to evaluate the qualitative and quantitative profiles of the disclosure of credit risk in banking institutions. The authors employ content analysis to conduct an empirical study on a sample of large Italian banks. The sample represents approximately 60% of the Italian banking industry in terms of total assets.