CREDIT DERIVATIVES DISCLOSURE IN BANKS’ RISK REPORTING: EMPIRICAL EVIDENCE FROM FOUR LARGE EUROPEAN BANKS

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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. The derivatives disclosure in banks’ annual risk reports has deep managerial, financial, regulatory and accounting implications at a firm and industry levels, and the comprehension of the rational underlying it is critical to maintaining competitive advantages in the banking industry and informational and allocative efficiency in the financial markets. Although the existence of substantial research on credit derivatives and financial statements in the literature, none have directly focused on credit derivatives disclosure at a cross-country level applying the content analysis based on an objective evaluation approach. It leaves a gap that the paper aims to overcome.

Keywords: Risk Reporting, Risk Disclosure, Credit Derivative, Banking, Financial Regulation, Risk Management, Banking Risk

Received: 02.02.2019
Accepted: 19.03.2019
Published online: 28.03.2019

How to cite this paper: Scannella, E. (2019). Credit derivatives disclosure in banks’ risk reporting: Empirical evidence from four large European banks. Risk Governance and Control: Financial Markets & Institutions, 9(2), 34-46.
https://doi.org/10.22495/rgcv9i2p3