Market Risk Disclosure in Banking: An Empirical Analysis on Four Global Systemically Important European Banks

Journal of Banking Regulation, vol. 19, n. 2, 2018, pp. 87-100. DOI 10.1057/s41261-017-0039-y

Posted: 5 Apr 2017 Last revised: 13 May 2018

Date Written: April 10, 2018

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

JEL Classification: G01, G2, G18, G21, G24, G28, G32

Suggested Citation

Scannella, Enzo and Polizzi, Salvatore B, Market Risk Disclosure in Banking: An Empirical Analysis on Four Global Systemically Important European Banks (April 10, 2018). Journal of Banking Regulation, vol. 19, n. 2, 2018, pp. 87-100. DOI 10.1057/s41261-017-0039-y. Available at SSRN: https://ssrn.com/abstract=2946369

Enzo Scannella (Contact Author)

University of Palermo - d/SEAS ( email )

Viale delle Scienze, edificio 13
Palermo, 90124
Italy
+3909123895305 (Phone)
+39091489346 (Fax)

HOME PAGE: http://www.enzoscannella.com

Salvatore B Polizzi

Independent ( email )

No Address Available

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