TITLE

Risk-related disclosure practices in the annual reports of Portuguese credit institutions: An exploratory study

AUTHOR(S)
Oliveira, Jonas; Rodrigues, Lúcia Lima; Craig, Russell
PUB. DATE
March 2011
SOURCE
Journal of Banking Regulation;Mar2011, Vol. 12 Issue 2, p100
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
This study assesses the risk-related reporting practices of 190 Portuguese credit institutions based on a content analysis of their individual annual reports for 2006. Risk-related disclosures are found to lack comparability because of different maturity time bands that report exposures to credit, market and liquidity risks; different Value-at-Risk and sensitivity analysis assumptions; and different practices for reporting capital structure and adequacy. The misalignment of quantitatively based disclosures and related narratives led to problems of relevance, reliability and understandability. We assess the extent to which reforms of risk-related reporting practices in 2007 in International Financial Reporting Standards and the Basel II Accord address each of the deficiencies identified. We highlight areas needing further reform, and recommend that Portuguese supervisory authorities adopt more effective enforcement mechanisms to broker compliance with minimum mandatory risk disclosure requirements.
ACCESSION #
59837180

 

Related Articles

  • External Risk Measures and Basel Accords. Kou, Steven; Xianhua Peng; Heyde, Chris C. // Mathematics of Operations Research;Aug2013, Vol. 38 Issue 3, p393 

    Choosing a proper external risk measure is of great regulatory importance, as exemplified in the Basel II and Basel III Accords, which use value-at-risk with scenario analysis as the risk measures for setting capital requirements. We argue that a good external risk measure should be robust with...

  • RMD Hesaplamalarında Volatilite Tahminleme Modellerinin KarşılaÅŸtırılması ve Basel II Yaklaşımına Göre Geriye Dönük Test Edilmesi: Ä°MKB 100 Endeksi Uygulamasi Korkmaz, Turhan; Bostancı, Ahmet // Business & Economics Research Journal;2011, Vol. 2 Issue 3, p1 

    For determining the Value-at-Risk number with statistical models volatility must be the primary calculation. There are different volatility estimation methods on VaR calculation. The traditional volatility estimation methods are inadequate for modeling "stylized facts" which are often observed...

  • Regulators Eyeing Capital Floor. Sloan, Steven // American Banker;4/3/2009, Vol. 174 Issue 64, p3 

    The article reports that the Financial Stability Forum (FSF) recommends that financial institutions be subject to restrictions concerning minimum capital levels, regardless of risk. In contrast, capital rules under Basel II link capital levels with risk. FSF also called for reduced reliance...

  • Avoiding a Liquidity Crunch: Do Pre-Bear Phase Bank Ratios Matter? Evidence from a World-Wide Sample. Batavia, Bala; Parameswar, Nandakumar; Murthy, Sree Rama; Wague, Cheick // Journal of Applied Economics & Business Research;2013, Vol. 3 Issue 1, p1 

    This paper undertakes an analysis of the performance of major banks, with diverse national ownership, during - and around - financial crises. Data for the recent crisis periods, covering the period 1999 - 2008, comprising of both bull and bear phases, from more than 500 banks is analyzed. The...

  • THE REGULATORY TREATMENT OF LIQUIDITY RISK IN SOUTH AFRICA. Jacobs, Johann; Styger, Paul; van Vuuren, Gary // South African Journal of Economic & Management Sciences;2012, Vol. 15 Issue 3, p294 

    The Basel accord describes the regulatory capital requirements for credit, market and operational risk. The accord aims to provide guidelines to level the playing field for all internationally active banks and to protect consumers against these risks. Despite the growing significance to bank...

  • Study Finds Capital Levels Could Rise Under Basel II. Sloan, Steven // American Banker;12/6/2007, Vol. 172 Issue 234, p4 

    The article reports that a study conducted by Federal Financial Analytics Inc. indicated that the Basel II accord could lead to large United States banks hoarding capital as a result of a liquidity crunch stemming from problems in the credit markets. It had previously been thought that the Basel...

  • From Basel II to Basel III -- Changes, Improvements and Proposals. Irena, Munteanu // Ovidius University Annals, Series Economic Sciences;2012, Vol. 12 Issue 1, p1555 

    BASEL III is a global regulatory standard on bank capital adequacy, stress testing and market liquidity risk agreed upon by the members of the Basel Committee on Banking Supervision in 2010-11. [1] The third installment of the Basel Accords was developed in response to the deficiencies in...

  • Basilea III: respuestas y reformas tras la crisis financiera. Gutiérrez López, Cristina; Miguel Fernández Fernández, José // Partida Doble;Nov2011, Vol. 22 Issue 237, p80 

    Financial crisis has fostered the reform process in Basel II Accord, with important problems in credit risk treatment, trading book and liquidity risk. That explains the change and approval of the new Basel III Accord, which not only requires higher and best capital levels, but also tries to...

  • Value-at-risk for long and short trading positions: Evidence from developed and emerging equity markets Diamandis, Panayiotis F.; Drakos, Anastassios A.; Kouretas, Georgios P.; Zarangas, Leonidas // International Review of Financial Analysis;Jun2011, Vol. 20 Issue 3, p165 

    Abstract: The financial crisis of 2007–2009 has questioned the provisions of Basel II agreement on capital adequacy requirements and the appropriateness of VaR measurement. This paper reconsiders the use of Value-at-risk as a measure for potential risk of economic losses in financial...

Share

Read the Article

Courtesy of VIRGINIA BEACH PUBLIC LIBRARY AND SYSTEM

Sorry, but this item is not currently available from your library.

Try another library?
Sign out of this library

Other Topics