Mathias Drehmann

Bank for International Settlements (BIS)

Centralbahnplatz 2

CH-4002 Basel

Switzerland

SCHOLARLY PAPERS

32

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CITATIONS
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in Total Papers Citations

188

Scholarly Papers (32)

1.

The Integrated Impact of Credit and Interest Rate Risk on Banks: An Economic Value and Capital Adequacy Perspective

Bank of England Working Paper No. 339
Number of pages: 40 Posted: 02 Mar 2007
Mathias Drehmann, Steffen Sorensen and Marco Stringa
Bank for International Settlements (BIS), Moody's Investor Services and Bank of England
Downloads 2,488 (4,699)
Citation 7

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Integration of credit risk and interest rate risk, asset and liability management of banks, economic value, stress testing

2.

Assessing the Risk of Banking Crises – Revisited

BIS Quarterly Review, March 2009
Number of pages: 18 Posted: 25 Jul 2012
Claudio E. V. Borio and Mathias Drehmann
Bank for International Settlements (BIS) - Research and Policy Analysis and Bank for International Settlements (BIS)
Downloads 1,491 (11,068)
Citation 54

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3.

Countercyclical Capital Buffers: Exploring Options

BIS Working Paper No. 317
Number of pages: 64 Posted: 27 Jul 2010
Bank for International Settlements (BIS), Bank for International Settlements (BIS) - Research and Policy Analysis, Bank for International Settlements (BIS), Banco de España and Banco de España
Downloads 1,114 (17,441)
Citation 9

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countercyclical capital buffers, financial stability, procyclicality

4.

Towards an Operational Framework for Financial Stability: 'Fuzzy' Measurement and Its Consequences

BIS Working Paper No. 284
Number of pages: 50 Posted: 20 Aug 2009
Claudio E. V. Borio and Mathias Drehmann
Bank for International Settlements (BIS) - Research and Policy Analysis and Bank for International Settlements (BIS)
Downloads 1,091 (18,006)
Citation 28

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financial (in)stability, risk measurement, macroprudential, procyclicality

5.
Downloads 1,050 ( 19,046)
Citation 12

Funding Liquidity Risk: Definition and Measurement

ECB Working Paper No. 1024
Number of pages: 51 Posted: 06 Mar 2009
Mathias Drehmann and Kleopatra Nikolaou
Bank for International Settlements (BIS) and Federal Reserve Board of Governors
Downloads 596 (41,539)
Citation 12

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funding liquidity, liquidity risk, bidding data, money market auctions, interbank markets

Funding Liquidity Risk: Definition and Measurement

BIS Working Paper No. 316
Number of pages: 35 Posted: 21 Jul 2010
Mathias Drehmann and Kleopatra Nikolaou
Bank for International Settlements (BIS) and Federal Reserve Board of Governors
Downloads 235 (123,994)
Citation 12

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Funding Liquidity, Liquidity Risk, Bidding Behavior, Central Bank Auctions, Interbank Markets

Funding Liquidity Risk: Definition and Measurement

EFA 2009 Bergen Meetings Paper
Number of pages: 40 Posted: 16 Feb 2009
Mathias Drehmann and Kleopatra Nikolaou
Bank for International Settlements (BIS) and Federal Reserve Board of Governors
Downloads 219 (132,993)
Citation 12

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funding liquidity, liquidity risk, bidding data, money market auctions, interbank markets

6.

Characterising the Financial Cycle: Don't Lose Sight of the Medium Term!

BIS Working Paper No. 380
Number of pages: 44 Posted: 18 Jun 2012 Last Revised: 13 May 2014
Mathias Drehmann, Claudio E. V. Borio and Kostas Tsatsaronis
Bank for International Settlements (BIS), Bank for International Settlements (BIS) - Research and Policy Analysis and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 997 (20,614)
Citation 2

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financial cycle, business cycle, credit, asset prices, financial crises, medium-term

7.

Macro Stress Tests and Crises: What Can We Learn?

BIS Quarterly Review December 2009
Number of pages: 14 Posted: 04 Aug 2012
Rodrigo A. Alfaro and Mathias Drehmann
Central Bank of Chile and Bank for International Settlements (BIS)
Downloads 715 (33,061)
Citation 11

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8.

Systemic Importance: Some Simple Indicators

BIS Quarterly Review, March 2011
Number of pages: 13 Posted: 25 Aug 2012
Mathias Drehmann and Nikola A. Tarashev
Bank for International Settlements (BIS) and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 527 (49,371)
Citation 9

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9.

Anchoring Countercyclical Capital Buffers: The Role of Credit Aggregates

BIS Working Paper No. 355
Number of pages: 39 Posted: 14 Nov 2011
Mathias Drehmann, Claudio E. V. Borio and Kostas Tsatsaronis
Bank for International Settlements (BIS), Bank for International Settlements (BIS) - Research and Policy Analysis and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 480 (55,537)
Citation 9

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countercyclical capital buffers, financial stability, procyclicality

10.

The Credit-to-GDP Gap and Countercyclical Capital Buffers: Questions and Answers

BIS Quarterly Review March 2014
Number of pages: 19 Posted: 23 Jun 2014
Mathias Drehmann and Kostas Tsatsaronis
Bank for International Settlements (BIS) and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 470 (57,059)

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11.

Will an Optimal Deposit Insurance Always Decrease the Probability of Systematic Banking Crisis?

Number of pages: 32 Posted: 19 Mar 2002
Mathias Drehmann
Bank for International Settlements (BIS)
Downloads 346 (82,168)
Citation 1

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Bank runs, contagion, investment behaviour of banks, deposit insurance, systematic banking crisis

12.

Stress-Testing Macro Stress Testing: Does it Live Up to Expectations?

BIS Working Paper No. 369
Number of pages: 28 Posted: 24 Feb 2012
Claudio E. V. Borio, Mathias Drehmann and Kostas Tsatsaronis
Bank for International Settlements (BIS) - Research and Policy Analysis, Bank for International Settlements (BIS) and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 318 (90,402)
Citation 3

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stress tests, financial instability, macroprudential

13.

An Economic Capital Model Integrating Credit and Interest Rate Risk in the Banking Book

ECB Working Paper No. 1041
Number of pages: 57 Posted: 06 May 2009
Piergiorgio Alessandri and Mathias Drehmann
Bank of England and Bank for International Settlements (BIS)
Downloads 318 (90,402)
Citation 6

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Economic capital, risk management, credit risk, interest rate risk, asset and liability management

14.

How Much Does the Private Sector Really Borrow? A New Database for Total Credit to the Private Non-Financial Sector

BIS Quarterly Review March 2013
Number of pages: 17 Posted: 12 Apr 2013
Bank for International Settlements (BIS), Bank for International Settlements (BIS) and Bank for International Settlements (BIS)
Downloads 299 (96,758)
Citation 1

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15.

Measuring the Systemic Importance of Interconnected Banks

BIS Working Paper No. 342
Number of pages: 26 Posted: 07 Jun 2011
Mathias Drehmann and Nikola A. Tarashev
Bank for International Settlements (BIS) and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 260 (112,254)
Citation 9

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Systemic risk, Shapley values, Interbank positions

16.

Monetary Policy, the Financial Cycle and Ultralow Interest Rates

Bank of Finland Research Discussion Paper No. 24/2016
Number of pages: 65 Posted: 15 Aug 2016 Last Revised: 13 Jan 2018
Bank of Finland, Bank for International Settlements (BIS) - Research and Policy Analysis, Puey Ungphakorn Institute for Economic Research, Bank of Thailand and Bank for International Settlements (BIS)
Downloads 234 (125,007)

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natural interest rate, financial cycle, monetary policy, credit, business cycle

17.

An Economic Capital Model Integrating Credit and Interest Rate Risk in the Banking Book

Bank of England Working Paper No. 388
Number of pages: 36 Posted: 01 Jun 2010
Piergiorgio Alessandri and Mathias Drehmann
Bank of England and Bank for International Settlements (BIS)
Downloads 227 (128,841)
Citation 5

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Economic Capital, Risk Management, Credit Risk, Interest Rate Risk, Asset And Liability Management

18.

Do Debt Service Costs Affect Macroeconomic and Financial Stability?

BIS Quarterly Review September 2012
Number of pages: 15 Posted: 24 Jan 2013
Mathias Drehmann and Mikael Juselius
Bank for International Settlements (BIS) and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 225 (129,919)
Citation 1

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19.

Total Credit as an Early Warning Indicator for Systemic Banking Crises

BIS Quarterly Review, June 2013
Number of pages: 5 Posted: 28 Apr 2014
Mathias Drehmann
Bank for International Settlements (BIS)
Downloads 213 (136,890)

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Herding with and Without Payoff Externalities - an Internet Experiment

Number of pages: 24 Posted: 22 Aug 2004
Mathias Drehmann, Joerg Oechssler and Andreas Roider
Bank for International Settlements (BIS), University of Heidelberg - Alfred Weber Institute for Economics and University of Regensburg - Department of Economics and Econometrics
Downloads 175 (164,151)
Citation 5

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Information cascades, herding, network effects, reputation, experiment, internet

Herding with and Without Payoff Externalities - an Internet Experiment

CEPR Discussion Paper No. 5310
Number of pages: 29 Posted: 30 Dec 2005
Mathias Drehmann, Joerg Oechssler and Andreas Roider
Bank for International Settlements (BIS), University of Heidelberg - Alfred Weber Institute for Economics and University of Regensburg - Department of Economics and Econometrics
Downloads 18 (529,977)
Citation 5
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Information cascades, herding, network effects, experiment, internet

21.

Early Warning Indicators of Banking Crises: Expanding the Family

BIS Quarterly Review, March 2018
Number of pages: 17 Posted: 13 Mar 2018
Iñaki Aldasoro, Claudio E. V. Borio and Mathias Drehmann
Bank for International Settlements (BIS), Bank for International Settlements (BIS) - Research and Policy Analysis and Bank for International Settlements (BIS)
Downloads 156 (181,213)

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22.

Monetary Policy, the Financial Cycle and Ultra-Low Interest Rates

BIS Working Paper No. 569
Number of pages: 66 Posted: 20 Jul 2016
Bank for International Settlements (BIS) - Monetary and Economic Department, Bank for International Settlements (BIS) - Research and Policy Analysis, Puey Ungphakorn Institute for Economic Research, Bank of Thailand and Bank for International Settlements (BIS)
Downloads 145 (192,578)

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natural interest rate, financial cycle, monetary policy, credit, business cycle

23.

Evaluating Early Warning Indicators of Banking Crises: Satisfying Policy Requirements

BIS Working Paper No. 421
Number of pages: 37 Posted: 27 Feb 2014
Mathias Drehmann and Mikael Juselius
Bank for International Settlements (BIS) and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 126 (215,327)

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EWIs, ROC, area under the curve, macroprudential policy

24.

Leverage Dynamics and the Real Burden of Debt

BIS Working Paper No. 501
Number of pages: 53 Posted: 08 May 2015
Mikael Juselius and Mathias Drehmann
Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS)
Downloads 117 (227,695)

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business cycle, credit boom, leverage, debt service burden, financial-real interactions, financial stability

25.

Liquidity Risk, Cash-Flow Constraints and Systemic Feedbacks

Bank of England Working Paper No. 456
Number of pages: 42 Posted: 26 Jun 2012
Sujit Kapadia, Mathias Drehmann, John Elliott and Gabriel Sterne
European Central Bank (ECB), Bank for International Settlements (BIS), Bank of England - Monetary Analysis and Bank of England
Downloads 102 (250,981)
Citation 2

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Systemic risk, funding liquidity risk, contagion, stress testing

26.

How Much Income is Used for Debt Payments? A New Database for Debt Service Ratios

BIS Quarterly Review September 2015
Number of pages: 15 Posted: 18 Sep 2015
Bank for International Settlements (BIS), Bank for International Settlements (BIS), Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS)
Downloads 90 (272,358)

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Accounting for Debt Service: The Painful Legacy of Credit Booms

BIS Working Paper No. 645
Number of pages: 56 Posted: 21 Jun 2017
Mathias Drehmann, Mikael Juselius and Anton Korinek
Bank for International Settlements (BIS), Bank of Finland and Johns Hopkins University - Department of Economics
Downloads 29 (465,129)

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new borrowing, debt service, financial cycle, real-financial linkages

Accounting for Debt Service: The Painful Legacy of Credit Booms

Bank of Finland Research Discussion Paper No. 12/2017
Number of pages: 56 Posted: 28 Jun 2017
Mathias Drehmann, Mikael Juselius and Anton Korinek
Bank for International Settlements (BIS), Bank of Finland and Johns Hopkins University - Department of Economics
Downloads 17 (536,213)

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new borrowing, debt service, financial cycle, real-financial linkages

28.

The Financial Cycle and Recession Risk

BIS Quarterly Review December 2018
Number of pages: 13 Posted: 29 Jan 2019
Claudio E. V. Borio, Mathias Drehmann and Fan Dora Xia
Bank for International Settlements (BIS) - Research and Policy Analysis, Bank for International Settlements (BIS) and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 44 (392,877)

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29.

Leverage Dynamics and the Burden of Debt

Bank of Finland Research Discussion Paper No. 3/2016
Number of pages: 42 Posted: 06 Apr 2016
Mikael Juselius and Mathias Drehmann
Bank of Finland and Bank for International Settlements (BIS)
Downloads 39 (411,056)

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E20, E32, E44, G01, business cycle, credit boom, leverage, debt service burden, financial-real interactions, financial stability

30.

Why You Should Use the Hodrick-Prescott Filter – at Least to Generate Credit Gaps

BIS Working Paper No. 744
Number of pages: 24 Posted: 30 Oct 2018
Mathias Drehmann and James Yetman
Bank for International Settlements (BIS) and Bank for International Settlements (BIS)
Downloads 36 (423,030)

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early warning indicators; credit gaps; HP filter

Going with the Flows: New Borrowing, Debt Service and the Transmission of Credit Booms

Bank of Finland Research Discussion Paper No. 10/2018
Number of pages: 56 Posted: 25 Apr 2018 Last Revised: 27 Apr 2018
Mathias Drehmann, Mikael Juselius and Anton Korinek
Bank for International Settlements (BIS), Bank of Finland and Johns Hopkins University - Department of Economics
Downloads 17 (536,213)

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new borrowing, debt service, financial cycle, financial flows and real effects

Going with the Flows: New Borrowing, Debt Service and the Transmission of Credit Booms

NBER Working Paper No. w24549
Number of pages: 54 Posted: 02 May 2018
Mathias Drehmann, Mikael Juselius and Anton Korinek
Bank for International Settlements (BIS), Bank of Finland and Johns Hopkins University - Department of Economics
Downloads 9 (586,509)
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32.

The Challenges Facing Currency Usage: Will the Traditional Transaction Medium Be Able to Resist Competition from the New Technologies?

Economic Policy, Vol. 17, pp. 193-227, 2002
Number of pages: 35 Posted: 02 Dec 2002
Mathias Drehmann, Charles Goodhart and Malte Krueger
Bank for International Settlements (BIS), London School of Economics & Political Science (LSE) - Financial Markets Group and PaySys Consultancy GmbH
Downloads 22 (489,436)
Citation 14
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