Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/299515 
Year of Publication: 
2020
Series/Report no.: 
EBA Staff Paper Series No. 10
Publisher: 
European Banking Authority (EBA), Paris La Défense
Abstract: 
Fifteen years after the introduction of the Basel II Accord, which thoroughly revised the capital framework for banks, internal models are a full part of the supervisory toolkit and the risk management framework of financial institutions. The debate around models has gone through different phases: strong support right before Basel II, seeking greater risk-sensitivity of capital requirements; material concern after the financial crisis, in the light of the high variability of internal models' outcomes; and awareness at the current juncture of their important role in risk management and banking supervision. Despite all initiatives taken by banking regulators and supervisors, a number of questions on banks' risk-weighted assets are still open. The aim of this paper is to provide a different perspective on some of those questions and set the conditions for shifting the attention from simple comparison across banks to an economic interpretation of their risk measures.
Subjects: 
Bank capital
prudential regulation
risk weights
Basel II
Persistent Identifier of the first edition: 
ISBN: 
978-92-9245-679-5
Document Type: 
Working Paper

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