Article Sidebar

Download
PDF
Statistic
Read Counter : 379 Download : 12869

Main Article Content

Abstract

This study was conducted to determine the extent to which the disclosure of market risk, especially the risk of the market carried out by banks in Indonesia. Observation of the disclosure in this study using method by Scannella and Polizzi (2018) which carried out quantitative and qualitative assessment. This study focuses on four banks in Indonesia that have a systemic impact and have Islamic subsidiaries. The year of observation is for three years from 2018 to 2020. The results showed that that in general using checklist provided by Scannella and Polizzi, (2018) the results show insufficient image of market risk disclosure among Indonesian large banks. For instance, graphical information about Value at Risk (VaR), back testing, and also stress testing. Furthermore, information about expected shortfall need to be more expanded.

Keywords

market risk disclosure bank indonesia

Article Details

Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.

How to Cite
Setyawan, H., & Suprianto, E. (2022). Market Risk Disclosure: A Study on Systemic Banks in Indonesia. Ilomata International Journal of Tax and Accounting, 3(3), 290-296. https://doi.org/10.52728/ijtc.v3i3.507

References

  1. Acharya, V., Philippon, T., Richardson, M., & Roubini, N. (2009). The Financial Crisis of 2007-2009: Causes and Remedies. Financial Markets, Institutions & Instruments, 18(2), 89–137. https://doi.org/10.1111/j.1468-0416.2009.00147_2.x
  2. Ahmad, N., Habtoor, O. S., Mohamad, N. R., & Che Haat, M. H. (2017). Linking Corporate Risk Disclosure Practices with Firm-Specific Characteristics in Saudi Arabia. Gadjah Mada International Journal of Business, 19(3), 247. https://doi.org/10.22146/gamaijb.26769
  3. Al-Maghzom, A., Hussainey, K., & Aly, D. (2016). The level of risk disclosure in listed banks: Evidence from Saudi Arabia. Corporate Ownership and Control, 14(1), 175–194. https://doi.org/10.22495/cocv14i1c1p2
  4. Aryani, D. N. (2017). The Determinants of Risk Disclosure in the Indonesian Non-listed Banks. International Journal of Trade and Global Markets, 10(1), 1. https://doi.org/10.1504/IJTGM.2017.10002795
  5. Ashfaq, K., Zhang, R., Razzaq, N., & Munaim, A. (2016). An investigation into the determinants of risk disclosure in banks: Evidence from financial sector of Pakistan. International Journal of Economics and Financial Issues, 6(3), 1049–1058. https://www.econjournals.com/index.php/ijefi/article/view/2299
  6. Basel Committee on Banking Supervision. (2019). The market risk framework In brief Revised market risk framework (Issue January). https://www.bis.org/bcbs/publ/d457_inbrief.pdf
  7. Boyle, G., Stover, R., Tiwana, A., & Zhylyevskyy, O. (2022). Depositor responses to a banking crisis: Are finance professionals special? Journal of Empirical Finance, 67, 182–195. https://doi.org/10.1016/j.jempfin.2022.03.004
  8. Chatzitheodorou, K., Tsalis, T. A., Tsagarakis, K. P., Evangelos, G., & Ioannis, N. (2021). A new practical methodology for the banking sector to assess corporate sustainability risks with an application in the energy sector. Sustainable Production and Consumption, 27, 1473–1487. https://doi.org/10.1016/j.spc.2021.03.005
  9. Corbet, S., Cumming, D. J., Hou, Y. (Greg), Hu, Y., & Oxley, L. (2022). Have crisis-induced banking supports influenced European bank performance, resilience and price discovery? Journal of International Financial Markets, Institutions and Money, 78, 101566. https://doi.org/10.1016/j.intfin.2022.101566
  10. Crimmel, J., & Elyasiani, E. (2021). The association between financial market volatility and banking market structure. The Quarterly Review of Economics and Finance, 82, 335–349. https://doi.org/10.1016/j.qref.2021.09.012
  11. Ellili, N. O. D., & Nobanee, H. (2017). Corporate risk disclosure of Islamic and сonventional banks. Banks and Bank Systems, 12(3), 247–256. https://doi.org/10.21511/bbs.12(3-1).2017.09
  12. Fang, S., Qian, X., & Zou, W. (2020). The empirical relation between loan risk and collateral in the shadow banking system: Evidence from China’s entrusted loan market. International Review of Economics & Finance, 67, 42–54. https://doi.org/10.1016/j.iref.2019.12.012
  13. Godspower-Akpomiemie, E., & Ojah, K. (2021). Market discipline, regulation and banking effectiveness: Do measures matter? Journal of Banking & Finance, 133, 106249. https://doi.org/10.1016/j.jbankfin.2021.106249
  14. Healy, P. M., & Palepu, K. G. (2001). Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature. Journal of Accounting and Economics, 31(1–3), 405–440. https://doi.org/10.1016/S0165-4101(01)00018-0
  15. Jing, Z., Liu, Z., Qi, L., & Zhang, X. (2022). Spillover effects of banking systemic risk on firms in China: A financial cycle analysis. International Review of Financial Analysis, 82, 102171. https://doi.org/10.1016/j.irfa.2022.102171
  16. Jorion, P. (2009). Financial Risk Manager Handbook Fifth Edition (5th ed.). Wiley Publishing. https://www.wiley.com/en-ie/Financial+Risk+Manager+Handbook,+5th+Edition-p-9780470521991#evaluation-copy-section
  17. Kabir, M. R., Sobhani, F. A., Omar, N., & Mohamad, N. (2019). Corporate Governance and Risk Disclosures: A Comparative Analysis Between Bangladeshi and Malaysian Islamic Banks. International Journal of Financial Research, 10(5), 110. https://doi.org/10.5430/ijfr.v10n5p110
  18. Kaifala, G. B., Paisey, C., & Paisey, N. J. (2021). The UK pensions landscape – A critique of the role of accountants and accounting technologies in the treatment of social and societal risks. Critical Perspectives on Accounting, 75, 102091. https://doi.org/10.1016/j.cpa.2019.06.005
  19. Linsley, P. M., & Shrives, P. J. (2005). Examining risk reporting in UK public companies. The Journal of Risk Finance, 6(4), 292–305. https://doi.org/10.1108/15265940510613633
  20. Linsley, P. M., Shrives, P. J., & Crumpton, M. (2006). Risk disclosure: An exploratory study of UK and Canadian banks. Journal of Banking Regulation, 7(3–4), 268–282. https://doi.org/10.1057/palgrave.jbr.2350032
  21. Moumen, N., Ben Othman, H., & Hussainey, K. (2015). The value relevance of risk disclosure in annual reports: Evidence from MENA emerging markets. Research in International Business and Finance, 34, 177–204. https://doi.org/10.1016/j.ribaf.2015.02.004
  22. Mukhibad, H., Nurkhin, A., & Rohman, A. (2020). Corporate governance mechanism and risk disclosure by Islamic banks in Indonesia. Banks and Bank Systems, 15(1), 1–10. https://doi.org/10.21511/bbs.15(1).2020.01
  23. Ouyang, A. Y., & Wang, J. (2022). Shadow banking, macroprudential policy, and bank stability: Evidence from China’s wealth management product market. Journal of Asian Economics, 78, 101424. https://doi.org/10.1016/j.asieco.2021.101424
  24. Pierri, N., & Timmer, Y. (2022). The importance of technology in banking during a crisis. Journal of Monetary Economics, 128, 88–104. https://doi.org/10.1016/j.jmoneco.2022.04.001
  25. Rajab, B., & Schachler, M. H. (2009). Corporate risk disclosure by UK firms: trends and determinants. World Review of Entrepreneurship, Management and Sustainable Development, 5(3), 224. https://doi.org/10.1504/WREMSD.2009.026801
  26. Scannella, E., & Polizzi, S. (2018). Market risk disclosure in banking: an empirical analysis on four global systemically important European banks. Journal of Banking Regulation, 19(2), 87–100. https://doi.org/10.1057/s41261-017-0039-y
  27. Setyawan, H. (2018). Operational Risks Disclosure of Islamic Banks: Selected Cases from Indonesia. 6th Asean International Conference on Islamic Finance (6th AICIF), November, 67–80. http://research.unissula.ac.id/file/publikasi/211406019/1676Paper_6th_AICIF_hendri.pdf
  28. Si, D.-K., & Li, X.-L. (2022). Shadow Banking Business and Firm Risk-taking: Evidence from China. Research in International Business and Finance, 101729. https://doi.org/10.1016/j.ribaf.2022.101729
  29. Wang, G.-J., Feng, Y., Xiao, Y., Zhu, Y., & Xie, C. (2022). Connectedness and systemic risk of the banking industry along the Belt and Road. Journal of Management Science and Engineering, 7(2), 303–329. https://doi.org/10.1016/j.jmse.2021.12.002
  30. Wang, K. T., Liu, S., & Wu, Y. (2021). Corporate social activities and stock price crash risk in the banking industry: International evidence. Journal of International Financial Markets, Institutions and Money, 74, 101416. https://doi.org/10.1016/j.intfin.2021.101416