Inwestycje finansowe
i ubezpieczenia – tendencje
światowe a rynek polski
PRACE NAUKOWE
Uniwersytetu Ekonomicznego we Wrocławiu
RESEARCH PAPERS
of Wrocław University of Economics
323
Redaktorzy naukowi
Krzysztof Jajuga
Wanda Ronka-Chmielowiec
Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
Wrocław 2013
Redaktor Wydawnictwa: Agnieszka Flasińska Redaktor techniczny: Barbara Łopusiewicz Korektor: Barbara Cibis
Łamanie: Małgorzata Czupryńska Projekt okładki: Beata Dębska
Publikacja jest dostępna w Internecie na stronach: www.ibuk.pl, www.ebscohost.com,
w Dolnośląskiej Bibliotece Cyfrowej www.dbc.wroc.pl,
The Central and Eastern European Online Library www.ceeol.com, a także w adnotowanej bibliografii zagadnień ekonomicznych BazEkon http://kangur.uek.krakow.pl/bazy_ae/bazekon/nowy/index.php Informacje o naborze artykułów i zasadach recenzowania znajdują się na stronie internetowej Wydawnictwa
www.wydawnictwo.ue.wroc.pl
Kopiowanie i powielanie w jakiejkolwiek formie wymaga pisemnej zgody Wydawcy
© Copyright by Uniwersytet Ekonomiczny we Wrocławiu Wrocław 2013
ISSN 1899-3192 ISBN 978-83-7695-351-9
Wersja pierwotna: publikacja drukowana Druk: Drukarnia TOTEM
Spis treści
Wstęp ... 11
Adam Adamczyk: Poziom wewnętrznych źródeł finansowania jako
determi-nanta inwestycji w działalność B + R przedsiębiorstw ... 13
Roman Asyngier: Ekonomiczne i prawne aspekty nieprawidłowości
funk-cjonowania rynku NewConnect. Ocena i propozycje zmian ... 23
Jacek Białek: Zastosowanie autorskiego indeksu wydajności pracy do
anali-zy dynamiki cen jednostek rozrachunkowych OFE ... 34
Magdalena Chmielowiec-Lewczuk: Zrównoważona Karta Wyników w
za-kładzie ubezpieczeń ... 43
Dawid Dawidowicz: Ocena efektywności nowych i pozostałych funduszy
in-westycyjnych akcji polskich w latach 2000–2012 ... 53
Ewa Dziwok: Weryfikacja modeli krzywej dochodowości na podstawie
me-tod dynamicznych ... 66
Krzysztof Echaust: Zwroty dzienne a zwroty nocne – porównanie
wybra-nych własności na przykładzie kontraktów futures notowawybra-nych na GPW w Warszawie ... 75
Urszula Gierałtowska: Inwestowanie w metale szlachetne jako alternatywna
forma lokowania kapitału ... 88
Paweł Kliber: Spread WIBOR-OIS jako miara ryzyka kredytowego i premii
płynnościowej ... 101
Karol Marek Klimczak: Struktura autoregresyjna zysku rezydualnego spó-
łek z Polski, Niemiec i Francji ... 112
Anna Korzeniowska: Wybrane problemy rynku finansowego wynikające
z sytuacji na rynku oszczędności gospodarstw domowych ... 120
Mieczysław Kowerski: Cateringowa teoria dywidend ... 128 Marzena Krawczyk: Adekwatność oferty instytucji rynku finansowego do
potrzeb kapitałowych MŚP ... 142
Paweł Kufel, Magdalena Mosionek-Schweda: Wpływ doświadczenia
gieł-dowego na koszt pozyskiwania kapitału na rynku Catalyst ... 151
Robert Kurek: Ewolucja konwergencji regulacji i sposobów nadzorowania
na rynku ubezpieczeniowym UE ... 161
Sebastian Majewski, Mariusz Doszyń: Efekty wpływu czynników
beha-wioralnych na stopy zwrotu z akcji spółek sektora budowlanego notowa-nych na GPW w Warszawie ... 170
6
Spis treściSebastian Majewski: Behawioralny portfel według Maslowa – analiza
sy-mulacyjna ... 180
Marta Małecka: Metody oceny jakości prognoz ryzyka rynkowego – analiza
porównawcza ... 192
Aleksander R. Mercik: Wykorzystanie rozkładu t-Studenta do szacowania
wartości zagrożonej ... 202
Artur Mikulec: Znormalizowany względem czasu τ wskaźnik Calmara i jego
zastosowanie w analizie efektywności inwestycji portfelowych ... 212
Wojciech Misterek: Bariery w zakresie pozyskania zewnętrznych źródeł
fi-nansowania na realizacje projektów innowacyjnych przedsiębiorstw ... 223
Paweł Niszczota: Wpływ języka raportowania na płynność spółek
zagranicz-nych notowazagranicz-nych na GPW ... 232
Dorota Pekasiewicz: Wyznaczanie współczynnika bezpieczeństwa na
pod-stawie kwantyla rozkładu sumy roszczeń w portfelu ubezpieczeń komuni-kacyjnych ... 241
Agnieszka Perepeczo: Reakcja akcjonariuszy na decyzje o wypłacie
dywi-dendy w spółkach publicznych – wyniki badań empirycznych ... 253
Tomasz Pisula: Metodyczne aspekty zastosowania modeli skoringowych do
oceny zdolności kredytowej z wykorzystaniem metod ilościowych ... 265
Paweł Porcenaluk: Analiza wybranych miar ryzyka płynności dla akcji
noto-wanych na GPW w Warszawie w latach 2001–2011 ... 289
Marcin Salamaga: Zastosowanie metody średniej kroczącej do badania
zy-skowności inwestycji na polskim rynku kapitałowym ... 298
Rafał Siedlecki: Prognozowanie trudności finansowych przedsiębiorstw
z wykorzystaniem miary rozwoju Hellwiga ... 308
Anna Sroczyńska-Baron: Możliwości aplikacyjne gier mniejszościowych
na Giełdzie Papierów Wartościowych ... 319
Michał Stachura, Barbara Wodecka: Asymetria w ujęciu Boshnakova –
propozycja metody szacowania miar asymetrii z próby ... 328
Piotr Staszkiewicz: Verification of the disclosure lemma applied to the model
for reputation risk for subsidiaries of non-public group with reciprocal shareholding on the Polish broker-dealers market ... 337
Anna Szymańska: Bayesowskie szacowanie stawek składki w
ubezpiecze-niach komunikacyjnych z wybranymi funkcjami straty ... 347
Jacek Welc: Prognozowana dynamika zysków spółek a obciążenie błędów
prognoz – doświadczenia polskie ... 357
Jerzy Węcławski: Pożyczki hybrydowe jako alternatywna forma
finansowa-nia przedsiębiorstw ... 366
Ryszard Węgrzyn: Analiza wrażliwości zmienności implikowanej
wzglę-dem instrumentu podstawowego opcji – podejście dynamiczne ... 375
Stanisław Wieteska: Obciążenia obiektów budowlanych śniegiem jako
ele-ment ryzyka w ubezpieczeniach majątkowo-osobowych w Polskim ob-szarze klimatycznym ... 385
Spis treści 7
Zuzanna Wośko: Odporność sektora bankowego w Polsce na szoki
ze-wnętrzne w kontekście ryzyka kredytowego. Badanie zależności między zmiennymi makroekonomicznymi ... 397
Anna Zamojska: Wskaźnik Sharpe’a w teorii i w praktyce... 406 Aneta Zglińska-Pietrzak: Bootstrapowe prognozy zmienności stóp zwrotu
na podstawie modelu GARCH ... 415
Monika Zielińska-Sitkiewicz: Ocena kondycji rynku nieruchomości
miesz-kaniowych na podstawie badania danych z raportów finansowych firm de-weloperskich ... 423
Summaries
Adam Adamczyk: The level of internal sources of finance as a determinant
of investment in R & D of enterprises ... 22
Roman Asyngier: Economic and legal aspects of irregularities in the
func-tioning of the NewConnect market. Assessment and suggestions for chan-ges ... 33
Jacek Białek: Application of the original index of labour productivity in the
analysis of open pension funds’ units dynamics ... 42
Magdalena Chmielowiec-Lewczuk: Balanced Scorecard in insurance
com-pany ... 52
Dawid Dawidowicz: Evaluation of efficiency of new Polish equity
invest-ment funds in comparison to the other investinvest-ment funds in the period 2000–2012 ... 65
Ewa Dziwok: Yield curve verification based on the correlation surface
me-thod ... 74
Krzysztof Echaust: Traded period returns and non-traded period returns –
comparison of selected properties on the basis of futures contracts quoted on Warsaw Stock Exchange ... 87
Urszula Gierałtowska: Investing in precious metals as an alternative form of
capital investment ... 100
Paweł Kliber: WIBOR-OIS spread as a measure of liquidity and default risk 111 Karol Marek Klimczak: Autoregressive structure of residual income of
Po-lish, French and German firms ... 119
Anna Korzeniowska: Selected problems of financial market resulting from
the situation on household savings market ... 127
Mieczysław Kowerski: Catering theory of dividends ... 141 Marzena Krawczyk: Adequacy of the offer given by financial market
insti-tution to capital needs of SMEs ... 150
Paweł Kufel, Magdalena Mosionek-Schweda: The impact of the
8
Spis treściRobert Kurek: The evolution in convergence of supervision regulations and
methods on the European Union insurance market ... 169
Sebastian Majewski, Mariusz Doszyń: The effects of impact of behavioural
factors on the rate of return of construction companies stocks listed on the Warsaw Stock Exchange ... 179
Sebastian Majewski: Behavioural portfolio according to Maslov –
simula-tion analysis ... 191
Marta Małecka: Methods for evaluating Value-at-Risk forecasts –
compara-tive analysis ... 201
Aleksander R. Mercik: Using the Student’s t distribution in Value-at-Risk
estimation ... 211
Artur Mikulec: Tau-normalized-Calmar ratio and its application in the
ana-lysis of portfolio investment efficiency ... 222
Wojciech Misterek: Barriers in obtaining external funding to the realization
of innovative projects in companies ... 231
Paweł Niszczota: The language used in filings and the trading activity of
for-eign companies listed on the Warsaw Stock Exchange ... 240
Dorota Pekasiewicz: Determination of the safety factor based on quantile of
the sum of claims distribution in the portfolio of automobile insurance .... 252
Agnieszka Perepeczo: Market reactions to dividend announcements in
pub-lic companies – empirical evidence ... 264
Tomasz Pisula: Methodological aspects of the application of credit scoring
models to assess the creditworthiness with the use of quantitative methods 288
Paweł Porcenaluk: The analysis of the selected liquidity risk measures for
stocks listed on the Warsaw Stock Exchange in 2001–2011 period ... 297
Marcin Salamaga: An application of moving average rules for testing the
profitability of Polish stock market ... 307
Rafał Siedlecki: Forecasting financial problems of companies based on
Hell-wig measurement of development ... 318
Anna Sroczyńska-Baron: The application of the minority games and
gam-bling on the stock exchange ... 327
Michał Stachura, Barbara Wodecka: Boshnakov’s approach to asymmetry
– proposal of estimation of sample asymmetry measures ... 336
Piotr Staszkiewicz: Weryfikacja lematu ujawnienia dla modelu ryzyka
repu-tacji niepublicznych grup kapitałowych z powiązaniami wzajemnymi na polskim rynku firm inwestycyjnych ... 346
Anna Szymańska: Bayesian estimation of premium rates in motor insurance
with selected loss functions ... 356
Jacek Welc: Forecasted earnings growth of companies and earnings forecast
bias – Polish experience ... 365
Spis treści 9
Ryszard Węgrzyn: Analysis of the sensitivity of implied volatility to the
underlying instrument of option − a dynamic approach ... 384
Stanisław Wieteska: Overload of roofs of buildings with snow as an element
of risk in property insurance in the Polish climate area ... 396
Zuzanna Wośko: Resilience of the Polish banking sector to external shocks
in the context of credit risk. Analysis of the relationship between macro-economic variables ... 405
Anna Zamojska: Sharpe ratio – theory and practice ... 414 Aneta Zglińska-Pietrzak: Bootstrap predictions of returns for GARCH
pro-cesses ... 422
Monika Zielińska-Sitkiewicz: Assessment of the condition of the Polish real
estate market based on the data analysis from the financial statements of developers ... 437
PRACE NAUKOWE UNIWERSYTETU EKONOMICZNEGO WE WROCŁAWIU RESEARCH PAPERS OF WROCŁAW UNIVERSITY OF ECONOMICS nr 323 • 2013
Inwestycje finansowe i ubezpieczenia – tendencje światowe a rynek polski ISSN 1899-3192
Piotr Staszkiewicz
Warsaw School of EconomicsVERIFICATION OF THE DISCLOSURE LEMMA
APPLIED TO THE MODEL FOR REPUTATION RISK
FOR SUBSIDIARIES OF NON-PUBLIC GROUP
WITH RECIPROCAL SHAREHOLDING
ON THE POLISH BROKER-DEALERS MARKET
1Abstract: The paper presents the approach for the verification of the lemma used for the model for reputation risk for subsidiaries of non-public group with reciprocal shareholding as proposed by the author in priory works. For all entities with the absolute value of the reputa-tion risk greater than the entity’s materiality the reputareputa-tion risk management system should be in place. The entire population of the Polish broker-dealers market was investigated. Based on the accounting assessment of the materiality, market value of the consolidated equity for listed groups and BASEL II disclosure a verification procedure was designed. Based on the procedure, the lemma was confirmed.
Keywords: Risk, reputational risk, model, risk management, IFRS, BASEL, CRD, accord, solvency, disclosure.
1. Introduction
The lemma discussed in this paper was used for the purpose of the design of the model for reputation risk for subsidiaries of non-public group with reciprocal shareholding. The model delivered a concept for reputation charge at the level of the unconsolidated entity with reciprocal holding when the market quotation of the group is not available. The model was based on the following lemma:
Lemma 1 for z M≥ than the reputation risk management system should be in place for any entity. Thus there could be a tendency for high positive z (above M) to set up the risk management system but without recognition of the risk value in the risk reporting.
1 Early version of this paper is accessible as the MPRA Working Paper 44210, University Library
338
Piotr Staszkiewicz For any z < 0 where z M≥ the reputation risk should be disclosed by applying true and fair concept to the financial reporting.Where: z − value of reputation,
M – materiality.
The purpose of this paper is to show the empirical test for the lemma.
2. Background
The reputation is defined for the model as current or potential cash outflow arising from information not reflected in the current fair value of net assets controlled or influenced by an entity.
Let:
y − represents the fair value of net assets controlled or influenced, x − current market value of the equity,
subject to (initial assumptions): i) efficient market,
ii) public traded shares of the entity on consolidated bases, iii) lack of material influence on other companies,
iv) verifiable net controlled and influenced assets,
v) efficient, subject to non-material errors the auditing procedures, vi) available consolidated values.
The following equation denotes the lack of the reputation:
y = x,
x ∈R; y ∈ R+.
The equation represents the situation where the fair value of the net controlled and influenced assets is equal to the market value of the entity. Consequently in equilibrium situation there is no reputation risk presence. In contrary any divergence form the equilibrium constitutes the reputation risk (or liability) or asset.
Thus the value of reputation equals:
z = x – y, z, x ∈ R; y ∈ R+.
The existence of the reputation risk is not conditioned on the efficiency of the market. The set of the initial assumption is conditioning the status of the nil risk. Any other sources of the reputational risk drivers as “corporate climate”, “social capital” etc. are not factorized.
If z ≠ 0 than the reputation is recognized. In any z > 0 the reputation assets are built up while for z < 0 there is a fair market expectation that the entity assets include the expected cash outflow due to the reputation.
Verification of the disclosure lemma… 339
3. Theoretical considerations
The background of the model and its theoretical consideration has been provided by P. Staszkiewicz [2012]. This paper is focused solely on the practical verification of the lemma cited in the introduction, while the model construction and its assumption discussion is a matter of earlier study.
In order to reconcile the materiality used in lemma and those applied for the verification of the lemma the general accounting materiality concept was applied. There is no prescribed benchmarking for materiality. H. Blokdijk et al. [2003] indicate after W.R. Kinney [2000] and D.M. Guy and D.R. Carmichael [2000] the existence of the heuristics “frequently suggest the planning materiality ranges from 5 percent to 10 percent of Net Income before Taxes (NIVT) or 0.5 percent to 1.5 percent of Total Assets or Revenues”. Even if the specific benchmarks are not stable and depend on number of qualitative factors, for this research the heuristic approach was applied with calculation correction. To avoid the subjectivity in materiality selection by dependence of the specific auditing methodology a two-fold approach with min-max calculation was performed. By application of materiality spread the benchmark becomes audit methodology resistant and stables itself.
Another element of the lemma verification is reconciliation to the capital requirement disclosure of the existence of the reputation risk by entity itself. One of the parts of the capital requirements is the economic capital assessment of the entities. The standard requires the disclosure of the material risks. In contrast to the supervisory rules, self-assessment builds up the base for recognition of so called not measurable risks. This constitutes the source for the reputational risk management, measurement and disclosures only if the entity recognizes the risk as material. The standard however does not define the materiality and it tends to base the materially on the accounting and auditing rules due to reference in the basic methods to the financial statements. The set of rules indicated in standards are however somehow weak in term of the obligatory requirements as standards for capital requirement calculation tend to influence the pro-cyclicality. This attribute transmits as well to the reputation recognition while its assessment is based on the pillar one requirement. In order to address the inborn weakness there is a need for either bank (brokers-dealers) or supervisors for “dynamic provisioning” or “dynamic regulation” as indicated by A. Sławiński [2010]. The pro-cyclicality is opening, on the other hand, the space for alternative automatic stabilization tools search. Consequently there is a need to develop the methodology for risk measurement and recognition in abstract from the pillar one especially in terms of non-measurable risks. The construction of the measurement and identification system should however not diverge from the existing internal system of control and data verification system (internal auditing, and control process). In consequence irrespectively of the measurement strategy applied by management the disclosure obligation provides the indicator for the existence of the reputational risk within given entity or groups of entities.
340
Piotr Staszkiewicz In contrary to proposed method of measurement as stated in the model there is not agreement among researchers on the recognition approach. C. Fombrun and C. van Riel [1997] liked this disagreement towards the multidisciplinary approach to the reputation. They outlined the areas of research in respect of the reputation pointing out the different views like: economics, strategic, marketing organization, sociological, accounting. Consequently this paper is placed between accounting and newly developed capital adequacy regime which tends to enhance the corporate so-cial reporting. Thus the recognition of the reputational risk could be stated either as the non-quantifiable as presented in social reporting stream, such as marketing and mix approach derived from the brand name. A. Adamska and T. Dąbrowski [2010] claimed the term of reputation and risk need still a uniformed definition. C. Lajoie stated that measurement of the reputation risk is difficult itself “the risk appetite is nil: not expected losses are to be tolerated in this field”. J. Bebbington et al. [2008] stated openly that “the identification of reputation risk is closely linked to attempts to manage such risks”, thus there are strong interconnections between models and management strategies. An alternative approach is the search for the measurement. However, there are no simple approaches available as it was already criticized – “narrow calculations of cost benefits are insufficient for the management of reputa-tion risks” – by S.V. Scott and G. Walsham [2005]. S. Tadelis in terms of the amor-phous behavior of name stated that “name trading and name changing seem to be a rule, rather than an exception”. He indicated that the name was behaving itself as an asset [Tadelis 1999].Consequently the value of the reputational risk as stated by the entities self--disclosure within the standards framework would be of little use for the lemma verification as the basis for recognition and measurement are likely unrecognizable. Therefore, for verification, only fact of disclosure should be taken into account.
In order to maintain the comparability between the data a financial statements approach was used. This allows for comparing the different groups and entities sub-ject to minor differences between the accounting standards. Application of IAS 39 has built a bridge between historic and fair value accounting for financial instru-ments and a transmission channel for the fair value volatility. This was further inve-stigated as the 2008 crisis occurred by other authors: G. Strampelli [2011], J. Bischof et al. [2010], M.E. Barth and W.R. Landsman [2010].The consequence of fair value reporting on an effective market was among others that the balance sheet value of net assets should be equal to market value of equity2. Thus the net equity (including profit and loss), total liabilities and provisions would have to reflect in total the fair value of assets. By application of the audited financial statements the potential data quality issue is resolved provided lack of qualification. Thus the types of audit opi-nion undergo verification for lemma check.
Verification of the disclosure lemma… 341
4. Empirical model, data and procedures
Model: Lemma 1.
Data sources: stooq.pl, web pages of the companies on Polish broker-dealers market.
Cut of date:
– 31 December 2010 for financial statements and capital adequacy reports, – for quotation the closest quoting date to 31 December 2010,
– in case of the beginning of the quotation after the 31 December 2010 the date of first quotation.
For NWAI the 2011 capital adequacy report was used.
Scope of population: The Polish broker-dealers market was chosen for verification purposes. The broker-dealers which were domiciled in Poland as of the cutoff date were selected for the verification process. The dealer-brokers operating within the structure of the banks, foreign banks and branches (semi-brokers-dealers) were excluded, as those entities do not report separately the capital adequacy and financial statements. Another reason for the exclusion was that that semi-broker-dealers are integrated to risk management system of larger and more diversified organizations like banks or conglomerates. The entities being the members of a financial group or conglomerate, quoted on the main or alternative markets, but not quoted as individual entities were excluded due to allocation bias3 risk.
The entire population of 50 entities was verified. Out of the population of the entities floated on the stock exchange (main or alternative market) – 7 – met the selection criteria mentioned above. Procedures:
1. Market selection – broker-dealers market. 2. Gathering of data – web and database search.
3. Selection of the target group – conditional selection for lemma statement, directly quoted investment companies domiciled in Poland as at the current date reconciled back to the cut off, in case of short time series as at the first quotation date 4. Consideration of both financial statements based on IFRS and PL GAAP. In case of availability of both unconsolidated and consolidated financial statement, the consolidated were used to reconcile the entity market value.
5. Capital adequacy reports were based on the implementation of 48 and 49/2006 EU directives. In case of lack of reports as of the cutoff date the next closes report was selected.
6. If financial report of an entity was qualified, the entity was excluded from procedures and discussed separately.
3 The fact of recognition of the reputation risk on the group consolidated level does not implies the
recognition of the reputation on subsidiary level as well the consolidated fair value of markets on the group level is not necessary to be straight allocable to the subsidiary. Thus market value, disclosure of the capital adequacy on that level might be misleading.
342
Piotr Staszkiewicz 7. Market values calculation: the closest available date to the cutoff date for market valuation (30 or 31 of December, 2010)4 was taken into account.8. For materiality calculation the two-fold procedure was applied. The maximum and minimum values of the scalar, derived from financial statements5 of net equity, profit before taxation, total assets and revenues from core activities weighed with the materiality rated as 5, 8, 0,1, 0,5% respectively. The inequality z M≥ was considered for maximum and minimum values of M.
9. The reputation risk management system was assessed as existed if in the capital adequacy disclosure report the reputation risk itself was named and addressed.
10. The financial recognition of the system in the economic capital provision was considered as existing only if it was disclosed both on the level of financial sta-tements and capital adequacy report.
5. Results
The market consists of 50 broker-dealers entities; out of them 7 are quoted directly on main or alternative market.
For six entities the z was positive, for one, IDM SA, negative.
For all of the selected entities the inequality z M≥ holds true irrespectively of the minimum or maximum value of M. Details of specific entities are shown in Table 1 for z vales and Table 2 for materiality.
Table 1. Comparison of market value and book value As of 31 December 2010
Market value
x Net equityy Consolidated z Positive
000 PLN Entity name
1. IDM SA 650 167 721 613 yes –71 446 no
2. Ipopema securities SA 447 769 69 251 yes 378 518 yes
3. TMS Brokers SA 220 598 24 801 no 195 797 yes
4. WDM SA 59 400 44 307 yes 15 093 yes
5. Caspar AM SA 92 263 6 074 no 86 189 yes
6. Copernicus securities SA 186 599 39 995 yes 146 604 yes 7. NWAI Dom Maklerski SA 35 179 2 795 no*** 32 383 yes
*** Available only unconsolidated data.
Source: Own calculations detail on market value table 5.
4 Quotation historic data were retrieved from stooq.pl archive.
Verification of the disclosure lemma… 343 Table 2. Materiality calculation
As of 31 December 2010
Materiality rates 8% 0.50% 5% 0.10% 000 PLN
Entity name Materiality
Pretax
profit Revenue* Net equity assetsTotal
Max min 1. IDM SA 36 081 616 41 173 123 216 721 613 1 290 326 2. Ipopema securities SA 3 463 408 23 542 100 415 69 251 408 402 3. TMS Brokers SA 1 694 84 21 181 16 742 24 801 133 061 4. WDM SA 2 215 17 2 020 3 434 44 307 62 617 5. Caspar AM SA 304 8 707 7 125 6 074 7 588 6. Copernicus securities SA 2 000 71 6 123 24 086 39 995 71 127 7. NWAI Dom Maklerski SA 155 4 1 941 4 553 2 795 3 708
* From basic operation.
Source: Own calculations based on Monitor Polski B reports.
None of the seven considered entities had financial statements qualified by the auditor. In case of Copernicus securities an explanatory note was included in the auditor opinion.
Table 3. Comparison on disclosure the reputation risk in capital requirements and financial statements stream
As of 31 December 2010 Reputation risk disclosure
Financial statements Adequacy disclosure Risk value Entity name
Yes/No Yes/No Yes/No
1. IDM SA yes yes no
2. Ipopema securities SA no yes no
3. TMS Brokers SA no yes no
4. WDM SA no yes no
5. Caspar AM SA no yes** no
6. Copernicus securities SA no yes no
7. NWAI Dom Maklerski SA no yes no
** As a part of hard quantifiable (non-measurable) risks.
Source: Financial statements and risk reports (see table 4) of specific companies, own presentation. In all entities, in case of high positive z (above M), the risk management system was reported in capital adequacy regime but not reported in financial statements
344
Piotr Staszkiewicz regime. There were no information provided for the values of the reputation risk ne-ither in capital reporting systems nor in financial statements. The details for entities are shown in Table 3. The data sources are shown in Table 4.Table 4. Sources for the risk managements reports used for Table 3 As of 31 December 2010
Source of data 000 PLN
Entity name
1. IDM SA http://www.idmsa.pl/type,2,date,2005,raporty-okresowe.html 2. Ipopema securities SA http://www.ipopemasecurities.pl/articles.php?miId=117&lang=pl
3. TMS Brokers SA http://www.tms.pl/relacje-inwestorskie/raporty-okresowe.html 4. WDM SA http://wdmsa.pl/34,relacje-inwestorskie/adekwatnosc-kapitalowa.html 5. Caspar AM SA http://www.casparam.pl/
6. Copernicus securities SA http://www.copernicus.pl/node/196/page/4/pl/ 7. NWAI Dom Maklerski SA http://www.nwai.pl
Source: Internet.
Table 5. Market value calculation used for Table 1
Entity Date Closing No. of shares Market value
IDM SA 2010-12-31 2,98 218 176 856 650 167 031 Ipopema securities SA 2010-12-31 15,05 29 752 122 447 769 436 TMS Brokers SA 2011-01-18 62,67 3 520 000 220 598 400 WDM SA 2010-12-31 0,72 82 500 000 59 400 000 Caspar AM SA 2011-12-08 50,1 1 841 577 92 263 008 Copernicus securities SA 2010-12-30 161,55 1 155 056 186 599 297 NWAI Dom Maklerski SA 2011-03-25 19 1 851 500 35 178 500 Source: Own presentation based on Stooq.pl.
For NWAI the consolidated data were not available, therefore, the unconsolida-ted data were used instead. In case of Caspar AM, there was no direct disclosure of the reputation risk factor, but it was recognized as a part of the non-quantifiable risk. The disclosure was considered as a part of risk management system for reputation risk.
For Caspar and NWAI the first quoting dates were used, 25 March 2011 and 18 January 2011, respectively. For Copernicus the 30 December 2010.
Verification of the disclosure lemma… 345
6. Discussion
The lemma 1 has been proved to hold true for the Polish broker-dealers market as of the cutoff date. The empirical proof, however, is not dynamic and limited to Polish domiciled broker-dealers. The actual size of the market quoted population is relatively small, therefore, the results are subject to errors. This is due as well to the limited time span of the available observation. Lack of information of distribution of the all Basel-regime entities does not allow for drawing valid conclusion on other segments of the market and geographical territories.
For NWAI, the consolidated data were not available, therefore, the unconsolida-ted data were used instead. The test of materiality for NWAI yields 32 382 to 155;
z to M ratio being unlikely to change significantly by consolidation. The assumption
taken for calculation of M – mainly the financial statements aggregates fractions – is subject to judgmental selection. The materiality criteria are widely used in auditing practice, therefore, they are likely to represent the expected financial statement to-lerable error.
In case of Caspar AM there was no direct disclosure of the reputation risk fac-tor, but it was recognized as apart of the non-quantifiable risk. The disclosure was considered as part of risk management system for reputation risk. The market value calculation is subject to the point of time error. A selection of average, mid spread, might yield different results. The actual results, however, indicate high tolerance for valuation errors. Selection of point data allows for structural comparison. The time lag of the cutoff date for market quoting for Caspar, NWAI and Copernicus was con-sidered to be insignificant. This assumption was not verified.
The reference market (both main and alternative) does not comply with the ef-fective market postulates, as verified by S.B. Buczek [2005], thus it is unlikely the reputation to be nil. The lemma mechanism was proved to be operating.
7. Concluding comments
The paper presented the approach for verification of lemma used for the model for reputation risk for subsidiaries of non-public group with reciprocal shareholding. The lemma seems to be verifiable for one period, however, its dynamics was not addressed. The lemma tends to be proved for isolated sector of the broker-dealers domiciled in Poland. Even if the entire population has been examined, the genera-lization of results on other sectors is not likely due to specific nature of the broker--dealers market.
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WERYFIKACJA LEMATU UJAWNIENIA DLA MODELU RYZYKA REPUTACJI NIEPUBLICZNYCH GRUP KAPITAŁOWYCH
Z POWIĄZANIAMI WZAJEMNYMI NA POLSKIM RYNKU FIRM INWESTYCYJNYCH
Streszczenie: Referat przedstawia metodologię weryfikacji lematu dotyczącego modelu ry-zyka reputacji podmiotu zależnego w sytuacji kontroli wzajemnej w niepublicznej grupie kapitałowej. Dla podmiotów, których absolutna wartość reputacji przekracza wielkość istot-ności powinien być wdrożony system zarządzania ryzykiem reputacji. Badaniem objęto całą populację firm inwestycyjnych domicylowanych w Polsce. Zastosowano model istotności do celów rewizji finansowej, wartość rynkową skonsolidowanych aktywów netto oraz ujawnie-nia wymogu kapitałowego do celów adekwatności kapitałowej firm inwestycyjnych. Lemat zweryfikowano pozytywnie.
Słowa kluczowe: ryzyko, ryzyko reputacji, model, zarządzanie ryzykiem, MSSF, BASEL, CRD, wypłacalność, ujawnienia.
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