Credit Derivatives Disclosure in Banks’ Risk Reporting: Empirical Evidence From Four Large European Banks

Abstract

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.

Keywords: Risk Reporting, Risk Disclosure, Credit Derivative, Banking, Financial Regulation, Risk Management, Banking Risk

JEL Classification: G01, G20, G21, G32, M10, M20, M21.