As an example, for the US, see http://www.ehow.com/facts_5155455_fha-mortgage-borrower-requ... for a situation in which the bank must see two months of bank statements from a borrower in order to be able to offer them a particular kind of loan (FHA-subsidized in this case). There are similar requirements in the US for larger loans that were imposed in the wake of the subprime stuff a few years back (e.g. at least as of a year ago mortgages at certain rates and certain mortgage amounts required a certain fraction of the purchase price in liquid assets remaining _after_ making the downpayment to qualify for the loan).
Apart from all that, your assets are insurance against you losing your job (for both you and the lender!), which is why underwriting wants to know about them. If there's no legal requirement for them to know, you don't have to give it to them, of course. And just as of course they may choose not to underwrite the loan at the particular rate you want in that situation, because they can't evaluate the risk.