Market risk disclosures of banks: a cross‐country study

Market risk disclosures of banks: a cross‐country study Purpose – The purpose of this paper is to empirically investigate the disclosure practices of market risk by 30 banks in ten countries of different size and geographic distribution (USA, Canada, UK, Germany, Japan, Italy, The Netherlands, France, Greece and Cyprus). Design/methodology/approach – The paper uses content analysis and other statistical techniques (regression and correlation analysis) to produce qualitative and quantitative indicators of the degree of market risk disclosure to ascertain if differences exist across countries and across banks of different size. Findings – The findings validate the testing hypotheses, namely that there are still significant differences across banks in different countries, meaning that there is no harmonization in disclosure practices; that the banks in the Anglo‐Saxon countries (UK and USA) are consistently better in their overall risk reporting practices; that the banks that are “good” in reporting qualitative information are also “good” in reporting quantitative information on risk types; OLS regression analysis and correlation analysis point to a positive association between bank size (as measured by the market capitalization) and the level of risk reporting. Originality/value – The study contributes to a research area that is under‐researched, especially focusing on market risk of banks across countries. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png International Journal of Organizational Analysis Emerald Publishing

Market risk disclosures of banks: a cross‐country study

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Publisher
Emerald Publishing
Copyright
Copyright © 2012 Emerald Group Publishing Limited. All rights reserved.
ISSN
1934-8835
DOI
10.1108/19348831211268599
Publisher site
See Article on Publisher Site

Abstract

Purpose – The purpose of this paper is to empirically investigate the disclosure practices of market risk by 30 banks in ten countries of different size and geographic distribution (USA, Canada, UK, Germany, Japan, Italy, The Netherlands, France, Greece and Cyprus). Design/methodology/approach – The paper uses content analysis and other statistical techniques (regression and correlation analysis) to produce qualitative and quantitative indicators of the degree of market risk disclosure to ascertain if differences exist across countries and across banks of different size. Findings – The findings validate the testing hypotheses, namely that there are still significant differences across banks in different countries, meaning that there is no harmonization in disclosure practices; that the banks in the Anglo‐Saxon countries (UK and USA) are consistently better in their overall risk reporting practices; that the banks that are “good” in reporting qualitative information are also “good” in reporting quantitative information on risk types; OLS regression analysis and correlation analysis point to a positive association between bank size (as measured by the market capitalization) and the level of risk reporting. Originality/value – The study contributes to a research area that is under‐researched, especially focusing on market risk of banks across countries.

Journal

International Journal of Organizational AnalysisEmerald Publishing

Published: Oct 5, 2012

Keywords: Risk management; Market risk; Bank risk disclosures; Content analysis; Risk disclosure index; Banks; United States of America; Canada; United Kingdom; Germany; Japan; Italy

References

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