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

Enzo Scannella () and Salvatore Polizzi
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Enzo Scannella: University of Palermo
Salvatore Polizzi: University of Palermo

Journal of Banking Regulation, 2018, vol. 19, issue 2, 87-100

Abstract: Abstract 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.

Keywords: Market risk; Risk reporting; Risk disclosure; Banking; Financial regulation; Risk management (search for similar items in EconPapers)
JEL-codes: G01 G2 G18 G21 G24 G28 G32 (search for similar items in EconPapers)
Date: 2018
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