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

Risk Governance & Control: Financial Markets & Institutions, Volume 9, Issue 2, 2019, pp. 34-46.

Posted: 13 Jun 2019

See all articles by Enzo Scannella

Enzo Scannella

University of Palermo - d/SEAS

Date Written: March 19, 2019

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.

Suggested Citation

Scannella, Enzo, Credit Derivatives Disclosure in Banks’ Risk Reporting: Empirical Evidence From Four Large European Banks (March 19, 2019). Risk Governance & Control: Financial Markets & Institutions, Volume 9, Issue 2, 2019, pp. 34-46.. Available at SSRN: https://ssrn.com/abstract=3396101

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

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