The effects of the financial crisis and Basel III on banks’ risk disclosure: A textual analysis

Avinoam Blum and Alon Raviv

Finance Research Letters, 2023, vol. 53, issue C

Abstract: We study the effects of the 2008 crisis and Basel III guidelines on the content of the financial reports of Israeli banks, which are highly regulated and follow the Basel guidelines. Our findings, which are based on LDA topic modeling and term frequency, indicate that already at the time of the crisis, Israeli banks had shifted the focus of their reports from market risk to credit and liquidity risks. The introduction of Basel III amplified this trend, where the reports focused on the new regulations of leverage and liquidity coverage ratios, while neglecting market risk and VaR methods.

Keywords: Topic modeling; LDA; Financial crisis; Basel III; Banks; Financial reports (search for similar items in EconPapers)
JEL-codes: E32 G21 G28 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000545

DOI: 10.1016/j.frl.2023.103680

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