5 Discussie en conclusie
5.2 Beperkingen en mogelijkheden voor vervolgonderzoek
De twee grootste beperkingen van dit onderzoek zijn de beperkte generaliseerbaarheid en objectiviteit. Door de beperkte omvang van de database zijn de resultaten van dit onderzoek minder generaliseerbaar. Tevens is enkel gebruik gemaakt van Europese banken, vanwege de geldende wet- en regelgeving, dit beperkt echter de overdraagbaarheid van de resultaten naar landen buiten Europa. Aanvullend onderzoek naar banken in landen buiten Europa kunnen interessante inzichten bieden. Een andere beperking met betrekking tot de steekproef, is de keuze voor een steekproef met de grootste Europese banken. Dit betekent dat geen sprake is van een random steekproef. Hierdoor zijn de resultaten niet rechtstreeks generaliseerbaar naar kleinere Europese banken. Vervolgonderzoek kan uitwijzen of de resultaten toch over te dragen zijn naar kleinere banken.
De belangrijkste beperking van dit onderzoek is de betrouwbaarheid bij het gebruik van een disclosure index. Het opstellen van een disclosure index en de verzameling van data is
semi-objectief, ondanks de genomen maatregelen om de objectiviteit te vergroten. Eén van deze maatregelen is de keuze voor een gelijke weging van de items in de disclosure index. Zoals eerder genoemd hebben stakeholders echter verschillende belangen, waardoor een ongewogen disclosure index geen juiste weergave is van de ervaren kwaliteit door de stakeholders. Onderzoek naar wat de verschillende stakeholders belangrijke kenmerken vinden voor kwalitatief goede risico disclosures, kan mogelijk leiden tot het gebruik van een gewogen disclosure index in de toekomst. De semi-objectiviteit van dit onderzoek vermindert de betrouwbaarheid van de resultaten. Daarnaast is het mogelijk dat de disclosure index niet goed de kwaliteit van risico disclosures meet. Hierdoor is verder onderzoek met behulp van andere kwaliteitsmaatstaven, zoals een inhoudsanalyse (Barako, et al., 2006) nodig.
Verder is mogelijk geen significante relatie gevonden tussen de liquiditeit van een bank en de kwaliteit van risico disclosures, omdat de gekozen ratio’s van de Bankscope website, wellicht niet nauwkeurig genoeg de liquiditeit van de bank meten. Eventueel zou de LCR, beter de liquiditeit van een bank weerspiegelen. Zodra de LCR verplicht in het jaarverslag opgenomen moet worden, kan hier onderzoek naar gedaan worden.
Ook kan vervolgonderzoek naar de relatie tussen kwaliteit van risico disclosures en andere vormen van eigendomsstructuren, zoals overheidseigendom, interessante inzichten bieden. Mogelijk vereist de overheid namelijk kwalitatief betere risico disclosures om ingrijpen in de toekomst te voorkomen. Daarnaast is het dividendbeleid onderzocht op basis van een eenjarige observatie, en toekomstig onderzoek zou moeten uitwijzen of de resultaten ook significant zijn voor dividendbeleid observaties van meerdere jaren.
Tenslotte richt dit onderzoek zich enkel op de kwaliteit van risico disclosures van jaarverslagen uit 2015. Onderzoek naar de kwaliteit van risico disclosures door de jaren heen zouden interessante inzichten kunnen bieden. Dan kan een vergelijking gemaakt worden tussen de kwaliteit van risico disclosures en de op dat moment geldende wet- en regelgeving. Op die manier kan ontdekt worden welke wet- en regelgeving de meeste invloed heeft op de kwaliteit van risico disclosures. Er bestaan dus vele mogelijkheden voor vervolgonderzoek en hopelijk zullen de resultaten van dit en toekomstig onderzoek bijdragen aan een het ontwikkelen van een stabielere financiële sector.
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Appendix A
G-SIB’s op alfabetische volgorde:
1. Agricultural Bank of China
2. Bank of America
3. Bank of China
4. Bank of New York Mellon
5. Barclays 6. BNP Paribas
7. China Construction Bank
8. Citigroup
9. Credit Suisse
10. Deutsche Bank 11. Goldman Sachs 12. Groupe BPCE
13. Groupe Crédit Agricole 14. HSBC
15. Industrial and Commercial Bank of China Limited 16. ING Bank 17. JP Morgan Chase 18. Mitsubishi UFJ FG 19. Morgan Stanley 20. Mizuho FG 21. Nordea
22. Royal Bank of Scotland 23. Santander 24. Société Générale 25. Standard Chartered 26. State Street 27. Sumitomo Mitsui FG 28. UBS 29. Unicredit Group 30. Wells Fargo
Appendix B
Banken in de steekproef: Score disclosure index
1 HSBC Holdings Plc 36
2 BNP Paribas 33
3 Deutsche Bank AG 32
4 Credit Agricole - Credit Agricole Group 19
5 Barclays Plc 38
6 Royal Bank of Scotland Group Plc 31
7 Banco Santander SA 24
8 Société Générale 24
9 BPCE Group 25
10 Lloyds Banking Group Plc 31
11 Unicredit Group 32
12 ING Groep NV 34
13 Banco Bilbao Vizcaya Argentaria SA 21
14 Intesa Sanpaolo 24
15 Cooperatieve Rabobank U.A. 16
16 Commerzbank AG 16
17 Nordea Bank 20
18 Standard Chartered Plc 30
19 Danske Bank A/S 19
20 ABN Amro Group N.V. 31
21 Caixabank, S.A. 25
22 DZ Bank AG - Deutsche Zentral - Genossenschaftsbank 27
23 Landesbank Baden-Wuerttemberg 16 24 Bayerische Landesbank 12 25 KBC 20 26 Erste Group 17 27 NordLB 9 28 Swedbank 28 29 Banque Postale 21
30 Landesbank Hessen-Thueringen Girozentrale - HELABA 9
31 BFA 20
32 Bank of Scotland Plc 4
33 Natixis SA 26
34 Dexia SA 15
35 Skandinaviska Enskilda Banken AB 19
36 FCE Bank plc. 13
37 Belfius Banque SA/NV-Belfius Bank SA/NV 16
38 Banco de Sabadell SA 20
39 Bank Nederlandse Gemeenten NV, BNG 19
40 Raiffeisen Zentralbank Österreich Aktiengesellschaft 19
42 NRW BANK 17
43 DekaBank Deutsche Girozentrale AG 23
44 Volkswagen Financial Services AG 3
45 Svenska Handelsbanken 27
46 Nationwide Building Society 25
47 Euroclear Plc 12
48 Crelan SA 0
49 NIBC Bank NV 14
50 Wüstenrot Bausparkasse AG 10
51 Investec Group (Combined) 6
52 Skipton Building Group 17
53 DLR Kredit A/S 2
54 Nykredit Group 17
55 LeasePlan Corporation NV 11
56 Daiwa Capital Markets Europe Limited 3
57 IKB Deutsche Industriebank AG 11
58 Exane Derivatives 3 59 Nederlandse Waterschapsbank 6 60 SNS Bank (SNS Holding B.V.) 31 61 Van Lanschot NV 14 62 Achmea Bank NV 18 63 Nationale-Nederlanden Bank NV 7
64 Credit Europe Group NV 16
65 Triodos Bank NV 18
66 Nederlandse Financierings-Maatschappij voor Ontwikkelingslanden N.V.
16
Appendix C
# Korte beschrijving
Toelichting Toetsing Category
1 Risk appetite & key risk
Describe the key risks that arise from the bank’s business models and activities and how the bank defines and measures it's risk appetite
2: Comprehensive (full description of risks involved, risk appetite of the bank and measurement)
1: risk appetite is included (including limits)
0: only key risks mentioned
General
2 General Risk information
Has the bank clearly identified the risk sections and is the relevant
information included in one section/paragraph?
2: Easily identifiably, clear and comprehensive
1: relevant sections indicated, clear but an overload
0: search for the relevant information in different paragraphs, loads of information is included multiple times.
General
3 Information management board
Description of the process of risk information reporting provided to the board and senior management, in particular the scope and main content of reporting on risk exposure.
2: comprehensive description including parameters/limits to be assessed, forward looking analysis of risk expected and possible mitigations actions to be taken 1: limited (only included what
information) 0: not included. General 4 Flow statements credit risk exposures
Has the bank disclosed an overall statement of credit risk exposures (i.e. loan production,
repayments/prepayments, full repayment, provision, use of provision for default assets etc.)
2: Comprehensive (full flow statement over the year and for different categories, possibly for segments)
1: Limited (flow statement included) 0: no flow statement included
Credit risk
5 Origination time & conditions
Has the bank included disclosures relating to the time or origination (year) as well as the relevant
conditions of the asset for the bank (such as loan to value or collateral values etc.)
2: Comprehensive, relevant information included such as year of origination, current loan-to-value and explanatory notes of the movements etc.
1: Limited, information included. 0: no information included or only high over ratio's for large portfolio's
Credit risk
6 Forbearance Has the bank disclosed an overview of forborne assets?
2: Comprehensive including a movement schedule ((in/out) and policy of the bank 1: Forborne assets have been included (the most significant categories)
0: not included.
Credit risk
7 Non-performing assets
Has the bank disclosed an overview of non-performing assets
2: Comprehensive including a movement schedule (in/out), description of
movements and policy of the bank 1: NP assets have been included (the most significant categories)
0: not included.
8 CVA Provide an overview of the bank's risks arising from derivative transactions (and impact on valuation)
2: comprehensive (includes derivative transaction via Central Clearing Party, impact of CVA charge on valuation for different types of derivatives)
1: limited (does include policy and/or total charge)
0: none
Credit risk
9 Credit Risk mitigation
Provide a description of the bank's risk mitigation techniques and include and overview which risk mitigation included.
Could also be done for solvency purposes in RWA.
2: comprehensive (includes balance sheet overview, collateral cash, collateral instruments,, guarantees etc. received) 1: limited (does include policy and main amounts of techniques used)
0: none
Credit risk
10 Concentration Credit Risk
Is disclosure for
concentration of credit risk sufficiently granular
2: comprehensive including a detailed overview of different categories [country, sector, currency etc.) and movement schedule (possibly explained in text the most relevant developments).
1: limited - multiple elements (no flow schedule)
0: only 1/2 elements
Credit risk
11 Off-Balance sheets exposure
Does it provide qualitative disclosures on how credit risk is impacted by trends in other parts of the economy? They