Market Risk Disclosure Practices of Banks: A Comparative Cross-country Analysis

Savvidou, Nicoletta (2009) Market Risk Disclosure Practices of Banks: A Comparative Cross-country Analysis. [Dissertation (University of Nottingham only)] (Unpublished)

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This dissertation is an empirical investigation of the disclosure practices of market risk of banks in four countries (UK, USA, Germany and Japan). It uses content analysis to produce qualitative and quantitative indicators of the degree of market risk disclosure to ascertain if differences exist between countries, as well as between banks within the same country. The study contributes to a research area that is under-researched, especially focusing on market risk of banks across countries.

The findings from content analysis of the sample banks’ annual reports are broadly consistent with other studies found in the literature, and validate the hypotheses constructed for the sake of this research, namely that (a) the banks in the UK and the USA are consistently better in their overall risk reporting practices; (b) the banks that are “good” in reporting qualitative information are also “good” in reporting quantitative information on risk types.

Additionally, the findings from OLS regression analysis and correlation analysis point to a positive and significant association between bank size (as measured by the market capitalization) and the level of risk reporting.

The findings also suggest that though overall there may have been an improvement in the reporting practices of banks, responding to the stricter regulatory environment and the increased demand for more risk disclosures by stakeholder, still there is much room for improvement in harmonizing risk disclosures, both within national boundaries and across countries.

For yet fuller understanding of the complexities of managing and disclosure practices of risk in general and market risk in particular by banks longitudinal studies are needed from the cross-country perspective by investigating the progress of market risk disclosures by banks over time.

Item Type: Dissertation (University of Nottingham only)
Depositing User: EP, Services
Date Deposited: 04 Feb 2010 10:35
Last Modified: 20 Sep 2016 20:45

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