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The effects of the financial crisis and Basel III on banks’ risk disclosure: A textual analysis

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  • Blum, Avinoam
  • Raviv, Alon

Abstract

We study the effects of the 2008 crisis and Basel III guidelines on the content of the financial reports of Israeli banks, which are highly regulated and follow the Basel guidelines. Our findings, which are based on LDA topic modeling and term frequency, indicate that already at the time of the crisis, Israeli banks had shifted the focus of their reports from market risk to credit and liquidity risks. The introduction of Basel III amplified this trend, where the reports focused on the new regulations of leverage and liquidity coverage ratios, while neglecting market risk and VaR methods.

Suggested Citation

  • Blum, Avinoam & Raviv, Alon, 2023. "The effects of the financial crisis and Basel III on banks’ risk disclosure: A textual analysis," Finance Research Letters, Elsevier, vol. 53(C).
    • Handle: RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000545
    DOI: 10.1016/j.frl.2023.103680
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    References listed on IDEAS

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    More about this item

    Keywords

    Topic modeling; LDA; Financial crisis; Basel III; Banks; Financial reports;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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