The Impact of Pillar 3 Disclosure Requirements on Bank Safety

Vauhkonen, Jukka

doi:10.1007/s10693-011-0107-x

Cited by 35 publications

(12 citation statements)

References 19 publications

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“…In a model for voluntary risk disclosure, Jorgensen and Kirschenheiter () find inter alia that disclosure leads to a lower risk premium and beta. Specifically in the context of Basel II, a model by Vauhkonen () shows that the third pillar of Basel II has a positive effect on bank safety because the resulting increased transparency provides incentives to improve risk management capabilities.…”

Section: Literature Reviewmentioning

confidence: 99%

An Empirical Analysis of Market Reactions to the First Solvency and Financial Condition Reports in the European Insurance Industry

Gatzert¹,

Heidinger²

2019

J of Risk & Insurance

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In 2017, insurers in the European Union disclosed their Solvency and Financial Condition Reports (SFCRs) according to the third pillar of Solvency II for the first time. The aim of this article is to empirically analyze market reactions to the first SFCRs for all publicly listed insurers in the European Union that published an English report based on an event study. We thereby investigate which key figures and textual attributes matter most to investors, using regression analyses and text mining approaches. We also discuss potential areas for improvement concerning SFCR disclosure, such as a central public disclosure platform and further standardization of disclosure requirements, which could further enhance the goals of transparency and market discipline in relation to Solvency II's Pillar 3. Our results show that SFCR key figures matter more than textual features. Specifically, we find a significantly positive market impact of the solvency ratio calculated without transitionals or adjustments and a significantly negative one for the solvency capital requirement (SCR).

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Section: Literature Reviewmentioning

confidence: 99%

An Empirical Analysis of Market Reactions to the First Solvency and Financial Condition Reports in the European Insurance Industry

Gatzert¹,

Heidinger²

2019

J of Risk & Insurance

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“…Davis (2010) notes the number of deficiencies in the capital adequacy regime, revealed by the global financial crisis. Vauhkonen (2012) argues that the current financial crisis brings into focus the need for greater transparency and market discipline.…”

Section: Literature Reviewmentioning

confidence: 99%

Capital adequacy of commercial banks in Bulgaria: Impact strategies

Andasarova

2018

mjcmi

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The subject of this research in broader terms involves the activities of credit institutions, the prudential requirements and their relation and dependence on the accounting methodology in banks. The broader subject of research serves as a basis for transition to more specific exploration regarding the subject of researchthe capital and capital adequacy of banks. The major aim of this paper is to reveal strategies that the banks have been using since the beginning of the latest financial crisis to achieve higher capital adequacy levels. An empirical research of the capital components and capital adequacy dynamics of the banking system in Bulgaria over the period 2007-2016 has been conducted to see the actual reflection of the latest capital framework on the capital adequacy of the banking system, and, based on research results, to make conclusions about the existing internal policies and accounting practices that would have an effect on improving the equity of commercial banks and the banking system as a whole.

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“…On the other hand, Vauhkonen (2012) examines the impact of mandatory information disclosure on bank safety in a spatial model of bank competition, where bank survival depends on the quality of its risk measurement and management systems. He specifically looks at how requisite disclosures on risk systems might affect bank behaviour.…”

Section: 5mentioning

confidence: 99%

Comptroller of the Currency

2018

The SAGE Encyclopedia of Business Ethics and Society

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The Impact of Pillar 3 Disclosure Requirements on Bank Safety

Cited by 35 publications

References 19 publications

An Empirical Analysis of Market Reactions to the First Solvency and Financial Condition Reports in the European Insurance Industry

An Empirical Analysis of Market Reactions to the First Solvency and Financial Condition Reports in the European Insurance Industry

Capital adequacy of commercial banks in Bulgaria: Impact strategies

Comptroller of the Currency

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