Many studies have questioned the reliability of banks� calculations of risk-weighted assets (RWA) for prudential purposes. The significant divergences found at international level are taken as indicating excessive subjectivity in the current rules governing banks� risk measurement and...

The credibility of prudential metrics as proxies for risk, i.e. the backbone of the Basel capital framework, is often called into question. From a regulatory side, ongoing works aim at strengthening the risk-sensitivity of capital requirements but, at the same time, banks’ autonomy is often...

This paper deepens previous studies on the analysis of the fixed (FRMs) and adjustable rate mortgages (ARMs) dynamics and the interconnections between FRMs and ARMs markets. In particular, an econometric analysis on the Italian mortgage markets series from 1997:q1 to 2012:q3 is set up by...

In 2007 the new framework for capital adequacy of banks (Basel 2), defined in 2004 by the Basel Committee for Banking Supervision, will replace the 1988 Accord (Basel 1) in all major countries. In the last years the Committee has carried out several impact studies in order to simulate the...

Since mid-2007, an increasing number of people among economists, policy-makers and market operators have blamed the Basel II framework for banks' capital adequacy to be a major cause for the subprime financial crisis. While several issues related to the functioning of financial markets have been...