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Disclosure and reporting of market risk: A study performed on 24 European banks
Jönköping University, Jönköping International Business School, JIBS, Business Administration.
Jönköping University, Jönköping International Business School, JIBS, Business Administration.
2015 (English)Independent thesis Advanced level (degree of Master (One Year)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

Purpose: The purpose of this study is to investigate and assess whether bank size, measured at total assets, is contributing to different levels of market risk disclosure among European banks of different sizes.

Research design: This research uses a one-year content and regression analysis to produce qualitative and quantitative indicators of market risk disclosures in order to determine if differences exist across banks of different sizes. The data collection is derived from the 2013 consolidated annual reports of the European banks included in the sample of this study.

Findings: The findings validate the hypothesis of an existing relationship between level of market risk disclosures and bank size (measured at total assets). However, the findings fail to answer whether there exists a relationship between qualitative and quantitative disclosure levels since the residuals are not normally distributed, hence not fulfilling the assumptions of a valid simple regression analysis. The small sample size is, among other factors, found as probable cause for this result. 

Contribution: The findings contribute to previous research within the subject of risk disclosure practices of banks in general. In addition, the findings further contribute to the under-researched area of studies on market risk disclosure practices of banks on a European level.

Value: This study provides value to regulatory bodies within the EU in understanding and anticipating banks behavior and incentives regarding disclosing market risk information in their annual reports. Since market risk is a mere part of relevant risk information that is required by banks to disclose, this study provides value in inspiring further research on other important risks affecting banks and society as well.  

Place, publisher, year, edition, pages
2015. , 54 p.
Keyword [en]
Risk disclosure, Bank risk disclosure, Market risk disclosure, Risk reporting, Risk exposure, EU, Banks, Content analysis
National Category
Business Administration
Identifiers
URN: urn:nbn:se:hj:diva-26747ISRN: JU-IHH-FÖA-2-20150054OAI: oai:DiVA.org:hj-26747DiVA: diva2:814043
Subject / course
IHH, Business Administration
Supervisors
Examiners
Available from: 2015-07-30 Created: 2015-05-25 Last updated: 2015-07-30Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
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