Barakova, Irina; Palvia, Ajay - In: Journal of Financial Stability 13 (2014) C, pp. 167-179
Using supervisory data for U.S. banks, we evaluate the alignment of Basel II/III AIRB (advanced internal ratings based) risk estimates with portfolio risk. We use loan performance as a direct measure of portfolio risk as well as less direct market-based measures. Our results document that AIRB...