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

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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.

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    Authors and Affiliations

    1. Department of Economics, Business, and Statistics, University of Palermo, Building n. 13, Viale delle Scienze, 90128, Palermo, Italy

      Enzo Scannella & Salvatore Polizzi

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    1. Enzo Scannella
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    2. Salvatore Polizzi
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    Correspondence to Enzo Scannella.

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    Although the paper has been written jointly by the two authors, it is possible to identify the contribution of each one as follows. Abstract and sections 1 and 2 have been written by Enzo Scannella. Sections 3, 4, and 5 have been written jointly by Enzo Scannella and Salvatore Polizzi. The data were analyzed jointly by the two Authors. All the figures and tables were prepared jointly by the two authors.

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    Scannella, E., Polizzi, S. Market risk disclosure in banking: an empirical analysis on four global systemically important European banks. J Bank Regul 19, 87–100 (2018). https://doi.org/10.1057/s41261-017-0039-y

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    • DOI: https://doi.org/10.1057/s41261-017-0039-y

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