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

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 … the main challenges for regulators in terms of bank risk measurement. The study shows that substantial challenges for …

contrast, Basel I risk weights are not reflective of loan performance. We find that capital requirements under the AIRB … sovereign exposures. The alignment of Basel risk estimates with market-based risk indicators is less robust although, the … association is nevertheless stronger for AIRB risk weights relative to Basel I. Our results support the view that internally …