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

Scannella, Enzo; Polizzi, Salvatore

doi:10.1057/s41261-017-0039-y

Cited by 16 publications

(26 citation statements)

References 15 publications

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“…Firstly, we analyzed Unicredit 2012 credit risk disclosure, which is the general benchmark of our evaluation process. Notice that it is the largest banks of our sample in terms of total assets, and according to the previous literature [43,66], the larger the bank, the better its risk disclosure. Afterward, we analyzed the credit risk disclosure of Unicredit 2013, taking into account the disclosure of the previous year as a reference for the assignment of each score of each sub-section.…”

Section: Credit Risk Disclosure In Banking: a New Methodological Apprmentioning

confidence: 51%

“…Other important studies on bank risk reporting are performed by Barth and Landsman [59], Fortuna [60], Gaetano [61], Helbok and Wagner [62], Malinconico [63], Maffei [64], Scannella [65], Scannella and Polizzi [66], Woods et al [43,44]. On closer inspection, Malinconico [63] provides an analysis of the impact of bank risk disclosure on market discipline, while Scannella [65], Scannella and Polizzi [66], and Woods et al [43,44] employ content analysis to evaluate market risk reporting. They find that, notwithstanding the global convergence of accounting standards, the progress toward harmonization at international level is still unsatisfactory.…”

Section: Literature Review On Risk Disclosurementioning

confidence: 99%

“…With reference to the empirical studies on this specific field, to the best of our knowledge the only paper which addresses this specific problem is Frolov [72], which is undoubtedly an interesting study, but quite old. Hence, since risk reporting in banking is an ongoing and evolutionary process [66,70], it is straightforward to understand that it is crucial to provide further contributions to this specific field of research.…”

Section: Literature Review On Risk Disclosurementioning

confidence: 99%

“…The only empirical study on the same topic is that of Frolov [72], who relies on a survey performed by the Japan Investor Relations Association in 2004, without developing a methodological technique to examine credit risk disclosure. While other metrics have been proposed for market risk [43,66] and operational risk [89], there is surprisingly no methodological tool available to analyze credit risk disclosure. This paper aims to fill this gap in the literature, by providing a metric to analyze bank risk disclosure focusing on credit risk.…”

Section: Literature Review On Risk Disclosurementioning

confidence: 99%

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How to measure bank credit risk disclosure? Testing a new methodological approach based on the content analysis framework

Scannella

Polizzi

2020

J Bank Regul

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Risk disclosure is a crucial factor in enhancing the efficiency of financial markets and promoting financial stability. This paper proposes a methodological tool to analyze credit risk disclosure in bank financial reports, based on the content analysis framework. The authors also uses this methodology to carry out an empirical study on a small sample of large Italian banks. The paper provides preliminary empirical evidence that banks differ in their credit risk disclosure, even though they are subject to homogeneous regulatory and accounting requirements. Furthermore, by carrying out a correlation-based network analysis, the paper provides preliminary evidence on the existence of a relationship between credit risk disclosure, bank size, and business model. The existing literature has not provided any methodological tool to analyze qualitative and quantitative profiles of bank credit risk disclosure. In order to fill this gap, we propose an original research methodology to investigate bank credit risk reporting. While previous contributions have examined related aspects adopting automated content analysis techniques, this paper proposes an original and non-automated content analysis approach. Our research has several regulatory and strategic implications and lays the foundation for further research in banking, finance, and accounting.

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Section: Credit Risk Disclosure In Banking: a New Methodological Apprmentioning

confidence: 51%

Section: Literature Review On Risk Disclosurementioning

confidence: 99%

Section: Literature Review On Risk Disclosurementioning

confidence: 99%

Section: Literature Review On Risk Disclosurementioning

confidence: 99%

See 2 more Smart Citations

How to measure bank credit risk disclosure? Testing a new methodological approach based on the content analysis framework

Scannella

Polizzi

2020

J Bank Regul

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“…In particular, hedging and trading derivative disclosure could be better integrated with other risk disclosures in banking. Derivative disclosure and, in a wider perspective, risk disclosure in banking lacks of a holistic view that conveys a coherent and global portrayal of risk in banking (Scannella, ; Scannella & Polizzi, ; Polizzi, ; Tutino, , ; Tutino et al, ).…”

Section: Research Findings: Theoretical and Policy Implicationsmentioning

confidence: 99%

Do Large European Banks Differ in their Derivative Disclosure Practices? A Cross‐Country Empirical Study

Scannella¹,

Polizzi²

2019

J Corp Accounting Finance

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A qualitative analysis of bank credit risk disclosure: Evidence from the Canadian and Italian banking sectors

Lajili

Mohsni

Polizzi

et al. 2022

J Corp Accounting Finance

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This paper aims to analyze bank credit risk disclosure practices in two different geographical contexts characterized by a homogeneous regulatory framework (Canada and Italy), by means of a qualitative content analysis methodology. We employ an innovative approach, which allows us to investigate both the qualitative and quantitative profiles of disclosures. Unlike an entirely quantitative approach, this comprehensive methodology allows us to analyze in depth the disclosure practices of Canadian and Italian banks and detect their commonalities, differences, points of strength, and weaknesses. Our results show that although there are some variations in the disclosure practices of Canadian and Italian banks, the quality of their disclosures is not significantly different. Among the most relevant differences, it emerges that while Italian banks provide more comprehensive disclosures, Canadian banks offer a more holistic view on credit risk. We contribute to the scant literature on credit risk disclosure by identifying room for improvement for both Canadian and Italian banks.

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

Cited by 16 publications

References 15 publications

How to measure bank credit risk disclosure? Testing a new methodological approach based on the content analysis framework

How to measure bank credit risk disclosure? Testing a new methodological approach based on the content analysis framework

Do Large European Banks Differ in their Derivative Disclosure Practices? A Cross‐Country Empirical Study

A qualitative analysis of bank credit risk disclosure: Evidence from the Canadian and Italian banking sectors

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