Disclosure of the value at risk (VaR) before the crisis in the Spanish banking sector

Main Article Content

Pablo Farías
Departamento de Administración, Universidad de Chile

Keywords

Value at risk, spanish banking sector, risk management, financial reporting, annual report

Abstract

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.

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Published
Nov 26, 2014

Article Details

How to Cite
Farías, P. (2014). Disclosure of the value at risk (VaR) before the crisis in the Spanish banking sector. AD-Minister, (25), 37–47. Retrieved from https://publicaciones.eafit.edu.co/index.php/administer/article/view/2347
Issue
No. 25 (2014)
Section
Research Articles
Supporting Agencies
Author Biography

Pablo Farías, Departamento de Administración, Universidad de Chile

Pablo Farías Nazel
Doctor en Gestión y Administración de Empresas, Universidad de Valladolid, Valladolid, España.
Magíster en Finanzas, Facultad de Economía y Negocios, Universidad de Chile, Santiago, Chile. 
Ingeniero Comercial, Facultad de Economía y Negocios, Universidad de Chile, Santiago, Chile.
E-mail: pfarias@fen.uchile.cl
Fono: (562) 2978 3358

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