Recent literature suggests that regulatory risk measures do not adequately capture the actual economic risk of bank portfolios. We shed new light on this issue by analyzing both regulatory and accounting standards, i.e. capital requirements and loan loss provisions. Examining a sample of large European banks for the years 2002–2015, we show that regulatory risk sensitivity, i.e. the response of Basel risk weights to asset volatility as our measure of a bank's asset portfolio risk, is substantially higher than what has been shown so far in the literature. Despite the occasionally bad reputation that risk weights have, we provide new evidence that they are adequately calibrated for banks with low or medium levels of risk. For crisis periods and for high-risk banks, however, risk weights still do not adequately reflect the actual portfolio risk. This results in insufficient capital, even with the stricter Basel III minimum capital requirements. Regarding loan loss provisions, we establish a theoretical link between expected losses and asset volatility. We document a strong empirical association, which fits well to the theoretical model. Overall, we find no indication that the risk sensitivity of loan loss provisions has been insufficient, at least since the financial crisis.

最近的文献表明，监管风险措施并不能充分反映银行投资组合的实际经济风险。我们通过分析监管和会计标准（即资本要求和贷款损失准备金）对这个问题有了新的认识。通过检查 2002-2015 年欧洲大型银行的样本，我们发现监管风险敏感性，即巴塞尔风险权重对资产波动性的反应，作为我们衡量银行资产组合风险的指标，远高于所显示的远在文献中。尽管风险权重有时名声不好，但我们提供了新的证据，表明它们已针对低风险或中等风险的银行进行了充分校准。然而，对于危机时期和高风险银行，风险权重仍然不能充分反映实际的投资组合风险。这导致资本不足，即使巴塞尔协议 III 的最低资本要求更为严格。关于贷款损失准备金，我们建立了预期损失和资产波动之间的理论联系。我们记录了一个强大的经验关联，它非常适合理论模型。总体而言，我们没有发现贷款损失准备金的风险敏感性不足的迹象，至少自金融危机以来是这样。