金融风险管理:CONSISTENCY OF RISK REPORTING IN FINANCIAL SERVICES FIRMS [2]
论文作者:留学生论文论文属性:硕士毕业论文 thesis登出时间:2010-12-13编辑:anterran点击率:18755
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关键词:operational riskdisclosurefinancial reportingBasel Committee on BankingAccounting
ral attitude towards risk, such that largelosses (being capable of causing financial distress for the reporting entity) which occurwith low probability are not penalised in capital requirements more than small losseswith larger probability of occurrence. Yet it is the former that have been at the core of thecollapse of a number of financial services firms over recent years (Barings, Allied IrishBanks, etc). In banking terminology, these losses arise from operational risks.Despite the significance of operational risk, there are no formal accounting standards,and the Basel Committee’s requirements on disclosure (Pillar 3) are qualitative. This
paper examines the nature of operational risk disclosures by international banks, theconsistency of disclosures, and their usefulness. In the next section we discuss selectedliterature on risk disclosures. Section 3 outlines the disclosure requirements foroperational risk under Basel II. In section 4 we present and discuss our findings oncurrent operational risk disclosure practices in financial institutions based on informationgathered from the 2004 and 2005 annual reports of fifty-seven financial institutions. The final section concludes.
2 SELECTED LITERATURE ON RISK DISCLOSURES
One reason for the growing interest in disclosure practices is the increasing number oflarge losses in financial and non-financialcompanies that could be, at least partially,attributed to operational risk. Commonly, investigations into these kinds of lossesdetected deficiencies in the financial reporting of the company, particularly with respectto risk-related information. In response, regulators, practitioners and academics havestarted examining the use of disclosure practices to improve governance in companiesand consequently to enhance market discipline. While, at this stage the literature on riskreporting in annual reports is limited, we expect this to change rapidly in light of
regulatory initiatives like Basel II.Lajili & Zeghal (2005) conduct a contents analysis of 300 listed https://www.51lunwen.org/australia/financial and nonfinancialCanadian companies. The study is based on the companies’ 1999 annual
1 VaR refers to the maximum likely loss from an exposure for a given time horizon and solvency standard.reports. They examine the depth and type of risk management information provided, andthey find that the resulting insights on the companies’ risk exposures are rather limited.They further criticise the lack of quantitative risk informationprovided in annual reports.Linsley & Shrives (2005b) analyse risk-reporting procedures in public companies.Similar to Lajili & Zeghal (2005), their study is limited to a particular geographical area,in this case the UK. The authors conduct a sentence-based analysis of 79 non-financialfirms listed in the FTSE 100. They find that the nature of disclosure is rather qualitativethan quantitative. They further find that most companies provide general statements thatlack high-quality contents.Woods, Dowd & Humphrey (2004) take a different angle and focus on the usefulnessand limitations of value-at-risk (VaR) information included as a risk reporting tool incompanies’ annual reports. Besides the general limitations of value-at-risk tools, theydiscuss problems associated with published VaR figures and question its auditability.They find that companies only offer non-sensitive VaR information, likely in an attempt toconvince readers that the institution’
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