Recent reforms in the banking sector in many economies of the world particularly in the area of risk management practices have generated public policy debates on the influence of risk based supervision (RBS) on performance of the banking industry. This study examines the impact of risk based supervision (RBS) on the performance of deposit money banks (DMBs) in Nigeria. The study formulates three hypotheses and applies longitudinal panel data regression to analyse the relationship between the dependent variable; return on assets and the independent variables; non-performing loan, loan loss provision and loan to deposit ratio of the banks. Furthermore, the study utilises secondary data extracted from the financial statements of the banks over the period of 2009 to 2013. The result of the robust simple ordinary least square regression provides evidence that non-performing loans and loan loss provision have significant impact on return on assets. It also shows that loan to deposit ratio has no significant impact on return assets of the banks. The overall outcome of the study shows that risk based supervision has significant impact on the performance of DMBs in Nigeria. Based on the findings, the study recommends among others that CBN and NDIC should continue to detail their approach toward risk management practices through various policies and procedures that have to do with credit policy and standard operating procedures. Also, the apex regulatory body should reemphasize policies and strategies on loan diversification so as to encourage the finance of long term projects that are of high economic value and benefits as this will further enhance the performance of DMBs in Nigeria