Many studies have questioned the reliability of banks� calculations of risk-weighted assets (RWA) for prudential purposes. The significant divergences found at international level are taken as indicating excessive subjectivity in the current rules governing banks� risk measurement and...

The credibility of prudential metrics as proxies for risk, i.e. the backbone of the Basel capital framework, is often called into question. From a regulatory side, ongoing works aim at strengthening the risk-sensitivity of capital requirements but, at the same time, banks’ autonomy is often...

This paper deepens previous studies on the analysis of the fixed (FRMs) and adjustable rate mortgages (ARMs) dynamics and the interconnections between FRMs and ARMs markets. In particular, an econometric analysis on the Italian mortgage markets series from 1997:q1 to 2012:q3 is set up by...

After a decade of deep transformation, which influenced both lending policies and risk management, Italy�s mutual banks are faced with the upcoming Basel III reform. Economic trends continue to exert pressure on the traditional bank business model. The entry into force of Basel III provides...

In December 2010 the Basel Committee on Banking Supervision published a set of new regulations for banks in response to the financial crisis. This paper aims at evaluating the possible effects of the new framework on banks� available regulatory capital and risk-weighted assets and assessing...