This article aims at illustrating the link between the bank risk, regulatory capital, and the bank performance. By using a panel dynamic data in the GMM estimator on a large dataset of 73 banks belonging to Golf Cooperation Countries from 2000 to 2018, we have discovered that both the regulatory capital and the bank performance have a negative association with bank risk. Thus, we have analyzed the link between the bank risk and the bank performance on regulatory capital and discovered that the bank risk negatively influences the bank performance. However, with banks with larger capital ratios the bank performance improves noticeably. Finally, we finished by demonstrating the impact of the financial crisis on these relationships, and our robustness check confirms our major findings.