Disclosure of the value at risk (VaR) before the crisis in the Spanish banking sector
Risk management has assumed great importance in financial institutions. Banks disclose their exposure to market risks in the form of value-at-risk (VaR). This paper evaluates the disclosure of this risk management measure in the Spanish banking sector prior to the Spanish crisis started in 2008. Bas...
- Autores:
-
Pablo Farías
- Tipo de recurso:
- Fecha de publicación:
- 2019
- Institución:
- Universidad EAFIT
- Repositorio:
- Repositorio EAFIT
- Idioma:
- spa
- OAI Identifier:
- oai:repository.eafit.edu.co:10784/13946
- Acceso en línea:
- http://hdl.handle.net/10784/13946
- Palabra clave:
- Value at risk
spanish banking sector
risk management
financial reporting
annual report
Valor en riesgo
sector bancario español
gestión del riesgo
información financiera
reporte anual.
- Rights
- License
- Copyright © 2014 Pablo Farías
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Medellín de: Lat: 06 15 00 N degrees minutes Lat: 6.2500 decimal degrees Long: 075 36 00 W degrees minutes Long: -75.6000 decimal degrees26/11/20142019-10-04T14:12:33Z26/11/20142019-10-04T14:12:33Z2256-43221692-0279http://hdl.handle.net/10784/13946Risk management has assumed great importance in financial institutions. Banks disclose their exposure to market risks in the form of value-at-risk (VaR). This paper evaluates the disclosure of this risk management measure in the Spanish banking sector prior to the Spanish crisis started in 2008. Based on a content analysis of the annual reports of banks in Spain, twelve items were analyzed as to the quality of the information relating to VaR. This study shows that the disclosure made prior to the crisis was poor in terms of quality and comparability. Also it was observed that the quality of the information provided about the VaR was associated positively to bank size. The Spanish banking sector case highlights the importance of upgrading financial supervision and risk management practices.La gestión del riesgo ha asumido una enorme importancia en las instituciones financieras. Los bancos divulgan su exposición a los riesgos del mercado a través del Valor en Riesgo (Value at risk, VaR). Este trabajo evalúa la divulgación de esta medida de gestión del riesgo en el sector bancario español previo a la crisis española iniciada en el año 2008. Se efectuó un análisis de contenido de los informes anuales de los bancos en España. Se analizaron doce ítems en cuanto a la calidad de la información relacionada al VaR. Este estudio muestra que la divulgación efectuada previa a la crisis fue deficiente en términos de calidad y comparabilidad. También fue posible observar que la calidad de la información entregada acerca del VaR estuvo asociada positivamente al tamaño del banco. El caso del sector bancario español previo a la crisis destaca la importancia de mejorar la supervisión financiera y las prácticas de gestión de riesgos.text/htmlspaUniversidad EAFIThttp://publicaciones.eafit.edu.co/index.php/administer/article/view/2347http://publicaciones.eafit.edu.co/index.php/administer/article/view/2347Copyright © 2014 Pablo FaríasAcceso abiertohttp://purl.org/coar/access_right/c_abf2instname:Universidad EAFITreponame:Repositorio Institucional Universidad EAFITAD-minister: No 25 (2014)Disclosure of the value at risk (VaR) before the crisis in the Spanish banking sectorDivulgación del valor en riesgo (VaR) previo a la crisis en el sector bancario españolarticleinfo:eu-repo/semantics/articlepublishedVersioninfo:eu-repo/semantics/publishedVersionArtículohttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_2df8fbb1Value at riskspanish banking sectorrisk managementfinancial reportingannual reportValor en riesgosector bancario españolgestión del riesgoinformación financierareporte anual.Pablo FaríasDepartamento de Administración, Universidad de ChileAD-minister253747THUMBNAILminiatura-administer.jpgminiatura-administer.jpgimage/jpeg8755https://repository.eafit.edu.co/bitstreams/607acf40-6bd6-4ce4-af77-5be2e9eaac16/download87c28d32b620f3408b1c70a3c505fbd8MD51ORIGINALDivulgación del valor en riesgo (VaR) previo a la crisis en el sector bancario español.pdfDivulgación del valor en riesgo (VaR) previo a la crisis en el sector bancario español.pdfTexto completo PDFapplication/pdf651691https://repository.eafit.edu.co/bitstreams/99bdca9e-5477-4ce9-9c6f-a4b6a3691ce1/downloadfe775592fdcb337c4cea58d9c90ffd5dMD52articulo.htmlarticulo.htmlTexto completo HTMLtext/html374https://repository.eafit.edu.co/bitstreams/6c1a59f2-094a-4dbb-8155-4225700b6538/downloaded6dc88af22fc4ddb166741579999d79MD5310784/13946oai:repository.eafit.edu.co:10784/139462019-12-04 09:54:32.249open.accesshttps://repository.eafit.edu.coRepositorio Institucional Universidad EAFITrepositorio@eafit.edu.co |
| dc.title.eng.fl_str_mv |
Disclosure of the value at risk (VaR) before the crisis in the Spanish banking sector |
| dc.title.spa.fl_str_mv |
Divulgación del valor en riesgo (VaR) previo a la crisis en el sector bancario español |
| title |
Disclosure of the value at risk (VaR) before the crisis in the Spanish banking sector |
| spellingShingle |
Disclosure of the value at risk (VaR) before the crisis in the Spanish banking sector Value at risk spanish banking sector risk management financial reporting annual report Valor en riesgo sector bancario español gestión del riesgo información financiera reporte anual. |
| title_short |
Disclosure of the value at risk (VaR) before the crisis in the Spanish banking sector |
| title_full |
Disclosure of the value at risk (VaR) before the crisis in the Spanish banking sector |
| title_fullStr |
Disclosure of the value at risk (VaR) before the crisis in the Spanish banking sector |
| title_full_unstemmed |
Disclosure of the value at risk (VaR) before the crisis in the Spanish banking sector |
| title_sort |
Disclosure of the value at risk (VaR) before the crisis in the Spanish banking sector |
| dc.creator.fl_str_mv |
Pablo Farías |
| dc.contributor.author.spa.fl_str_mv |
Pablo Farías |
| dc.contributor.affiliation.spa.fl_str_mv |
Departamento de Administración, Universidad de Chile |
| dc.subject.keyword.eng.fl_str_mv |
Value at risk spanish banking sector risk management financial reporting annual report |
| topic |
Value at risk spanish banking sector risk management financial reporting annual report Valor en riesgo sector bancario español gestión del riesgo información financiera reporte anual. |
| dc.subject.keyword.spa.fl_str_mv |
Valor en riesgo sector bancario español gestión del riesgo información financiera reporte anual. |
| description |
Risk management has assumed great importance in financial institutions. Banks disclose their exposure to market risks in the form of value-at-risk (VaR). This paper evaluates the disclosure of this risk management measure in the Spanish banking sector prior to the Spanish crisis started in 2008. Based on a content analysis of the annual reports of banks in Spain, twelve items were analyzed as to the quality of the information relating to VaR. This study shows that the disclosure made prior to the crisis was poor in terms of quality and comparability. Also it was observed that the quality of the information provided about the VaR was associated positively to bank size. The Spanish banking sector case highlights the importance of upgrading financial supervision and risk management practices. |
| publishDate |
2019 |
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2019-10-04T14:12:33Z |
| dc.date.accessioned.none.fl_str_mv |
2019-10-04T14:12:33Z |
| dc.date.issued.none.fl_str_mv |
26/11/2014 |
| dc.date.none.fl_str_mv |
26/11/2014 |
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article info:eu-repo/semantics/article publishedVersion info:eu-repo/semantics/publishedVersion |
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http://purl.org/coar/version/c_970fb48d4fbd8a85 |
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http://purl.org/coar/resource_type/c_6501 http://purl.org/coar/resource_type/c_2df8fbb1 |
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Artículo |
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publishedVersion |
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2256-4322 1692-0279 |
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http://hdl.handle.net/10784/13946 |
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2256-4322 1692-0279 |
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http://hdl.handle.net/10784/13946 |
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spa |
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spa |
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http://publicaciones.eafit.edu.co/index.php/administer/article/view/2347 |
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http://publicaciones.eafit.edu.co/index.php/administer/article/view/2347 |
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Copyright © 2014 Pablo Farías |
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Acceso abierto |
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Copyright © 2014 Pablo Farías Acceso abierto http://purl.org/coar/access_right/c_abf2 |
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text/html |
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Medellín de: Lat: 06 15 00 N degrees minutes Lat: 6.2500 decimal degrees Long: 075 36 00 W degrees minutes Long: -75.6000 decimal degrees |
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Universidad EAFIT |
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instname:Universidad EAFIT reponame:Repositorio Institucional Universidad EAFIT |
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AD-minister: No 25 (2014) |
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