Author(s) Object of study Sample Methodology Results Saurina and Trucharte, How does the risk Mortgage information Univariate analysis Risk methodology impacts 2007 methodology of banks from Spanish banks from minimum capital impact the minimum 1990 till 2004 requirements. capital requirements under Basel II Catarineu-Rabell, Jackson How does loan ratings Mortgage information Multi period general Risk methodology impacts and Tsomocos, 2004 impact capital from Spanish banks from equilibrium framework minimum capital requirement s under Basel 1990 till 2004 with heterogeneous requirements. II agents Vauhkonen (2009) How do disclosure N/A Spatial competition model More stringent disclosure requirements impact the of banking requirements increase banks safety banks safety Castren, Fitzpatrick, and Measure credit risk in the Annual accounts from 16 Global vector auto More stringent disclosure Sydow (2009) European banking sector EU Large and Complex regression model requirements increase using publicly available Banking Groups banks safety information Hlawatsch and Ostrowski Create model to combine N/A N/A Model that create (2010) IFRS and Basel II provisions based on methodology on loan loss potential losses over the provisions maturity of the loan and releases partly is no credit event occurs Woods, Dowd and Market risk reporting Top 25 banks by market Content analysis Disclosures are not Humphrey development by banks capitalization related to size of banks. from 2000-2005 Disclosures increase slightly over time. Standards are not forcing consistency in risk reporting.
Author(s) Object of study Sample Methodology Results Saurina and Trucharte, 2007 How does the risk methodology of banks impact the minimum capital requirements under Basel II Mortgage information from Spanish banks from 1990 till 2004 Univariate analysis Risk methodology impacts minimum capital requirements. Catarineu-Rabell, Jackson and Tsomocos, 2004 How does loan ratings impact capital requirement s under Basel II Mortgage information from Spanish banks from 1990 till 2004 Multi period general equilibrium framework with heterogeneous agents Risk methodology impacts minimum capital requirements. Vauhkonen (2009) How do disclosure requirements impact the banks safety N/A Spatial competition model of banking More stringent disclosure requirements increase banks safety Castren, Fitzpatrick, and Sydow (2009) Measure credit risk in the European banking sector using publicly available information Annual accounts from 16 EU Large and Complex Banking Groups Global vector auto regression model More stringent disclosure requirements increase banks safety Hlawatsch and Ostrowski (2010) Create model to combine IFRS and Basel II methodology on loan loss provisions N/A N/A Model that create provisions based on potential losses over the maturity of the loan and releases partly is no credit event occurs Woods, Dowd and Humphrey Market risk reporting development by banks from 2000-2005 Top 25 banks by market capitalization Content analysis Disclosures are not related to size of banks. Disclosures increase slightly over time. Standards are not forcing consistency in risk reporting.