expected shortfall (MES), and SRISK-to compare with the Basel guidelines as benchmark. We use Indonesian banks' market and … concordance with the Basel guidelines as applied by a bank supervisor. The findings show that SRISK produced a more consistent …. Further, all theoretical models are in line with the Basel guidelines, where the closest approximation is at 47%. The results …

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 …

of risk management and capital adequacy, Basel Committee on Banking Supervision (BCBS) published several guidelines … for risk management and capital adequacy on Basel standards …