ANALYSIS OF OPERATIONAL RISK DISCLOSURE LEVEL ACCORDING TO RECOMMENDATIONS OF BASEL COMMITTEE: A STUDY IN BRAZILIAN AND FOREIGN BANKS

Authors

  • Carlos André de Melo Alves Universidade de São Paulo
  • Ana Paula Mussi Szabo Cherobim Universidade Federal do Paraná

Abstract

This paper examines the operational risk disclosure levels of 24 brazilian banks and 9 foreign banks based on the Basel Committee recommendations. The information is taken from 2003 and 2004 annual reports and other disclosure instruments. The sample is based on Central Bank of Brazil's Report "50 maiores bancos". It was used an analysis framework of 9 categories and 18 subcategories, based on the Pillar 3 of Basel II, in the "Sound Practices for the Management and Supervision of Operational Risk", in the theoretical review and in a research in which were considered professionals opinions about the categories and subcategories. Non-parametric tests were used. The results showed that the disclosure levels for brazilian and foreign banks, respectively, were of 17.13% and 77.78% in 2003, and 24.31% and 81.48% in 2004. The non-parametric tests showed that foreign banks disclosed more than brazilian banks, and both increased their disclosure levels in 2004.

KEYWORDS

Operational risk; Operational risk disclosure; Recommendations of the Basel Committee; Financial institutions; Non-parametric tests.

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Author Biographies

Carlos André de Melo Alves, Universidade de São Paulo

Mestre em Administração pela Universidade Federal do Paraná (UFPR). Doutorando em Administração pela Faculdade de Economia, Administração e Contabilidade da Universidade de São Paulo (USP).

Ana Paula Mussi Szabo Cherobim, Universidade Federal do Paraná

Doutora em Administração pela Universidade de São Paulo (USP). Professora adjunta III do Departamento de Administração Geral e Aplicada da Universidade Federal do Paraná (UFPR.)

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Published

2009-04-17

Issue

Vol. 10 No. 2 (2009)

Section

Presentation

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