well as the Basel Accords. The study is aimed at presenting the evolution and critique of risk measures and risk models in … discussion concerning proper risk measurement in regulatory frameworks, such as the Basel Accord or the European Banking …

Using supervisory data for US banks, we evaluate the alignment of Basel II/III AIRB (Advanced Internal Ratings Based … contrast, Basel I risk weights are not reflective of loan performance. We find that capital requirements under the AIRB … approach are higher than those under Basel I especially for portfolios recently under stress such as mortgages and some …