The latest financial crisis has exposed substantial weaknesses in the bank risk models used by national regulators as well as the Basel Accords. The study is aimed at presenting the evolution and critique of risk measures and risk models in banking, with a special focus on the dynamically...

The Dodd-Frank Act, enacted after the global financial crisis, requires U.S. financial regulators to define and regulate systemically risky firms and activities — a truly Sisyphean task. In this Essay, we identify two paths regulators have taken: a “descriptive approach,” which involves...

This paper studies the relationship between the riskiness of banks' assets and their average risk weight. Banks' initial risk weights explain about half of the variation in projected credit losses in the 2018 European Banking Authority stress test. In contrast to related papers, this paper also...