Credit derivatives disclosure in banks’ risk reporting: empirical evidence from four large European banks.

Abstract

Risk disclosure, and credit derivatives disclosure particularly, is a pivotal topic in banking. The attention on banking risks and risk reporting has improved enormously in the last times due to the turmoil in the financial systems, the growing regulatory and accounting requirements in the banking industry, and the growing complexity of banking activity, especially large and multi-business banks. In this paper we make an empirical analysis on credit derivatives disclosure with reference to four largest European banks, using the content analysis as a research method. The paper shows that different aspects of derivative disclosure can be improved, discusses some policy and theoretical implications, and provides some useful suggestions for further research.