Mathias Drehmann

Bank for International Settlements (BIS)

Centralbahnplatz 2

CH-4002 Basel

Switzerland

SCHOLARLY PAPERS

34

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18,226

SSRN CITATIONS
Rank 832

SSRN RANKINGS

Top 832

in Total Papers Citations

363

CROSSREF CITATIONS

959

Scholarly Papers (34)

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 2,759 (6,754)
Citation 14

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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 1,759 (13,922)
Citation 42

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3.

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 1,444 (18,794)
Citation 27

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

4.

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 1,319 (21,500)
Citation 106

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countercyclical capital buffers, financial stability, procyclicality

5.

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 1,314 (21,652)
Citation 131

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

6.
Downloads 1,168 ( 25,773)
Citation 29

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 European Central Bank (ECB)
Downloads 632 (59,047)
Citation 5

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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 European Central Bank (ECB)
Downloads 288 (148,214)
Citation 31

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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 European Central Bank (ECB)
Downloads 248 (172,279)
Citation 12

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

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 896 (37,671)
Citation 2

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8.

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 660 (56,579)
Citation 17

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9.

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 619 (61,412)
Citation 1

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10.

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 591 (65,141)
Citation 18

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countercyclical capital buffers, financial stability, procyclicality

11.

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: 18 Nov 2021
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 476 (85,132)
Citation 5

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12.

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 461 (88,712)
Citation 17

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13.

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 457 (89,405)
Citation 10

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14.

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 411 (101,040)
Citation 9

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15.

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 373 (112,860)
Citation 6

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16.

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 360 (117,496)
Citation 1

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

17.

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 338 (125,922)

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

18.

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 335 (127,113)
Citation 19

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stress tests, financial instability, macroprudential

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 308 (138,859)
Citation 2

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20.

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 280 (153,172)
Citation 16

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Systemic risk, Shapley values, Interbank positions

21.

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 255 (168,320)
Citation 24

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

Herding with and Without Payoff Externalities - an Internet Experiment

Number of pages: 24 Posted: 22 Aug 2004
Bank for International Settlements (BIS), University of Heidelberg - Alfred Weber Institute for Economics and IZA Institute of Labor EconomicsUniversity of Regensburg - Department of Economics and Econometrics
Downloads 200 (211,585)
Citation 4

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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
Bank for International Settlements (BIS), University of Heidelberg - Alfred Weber Institute for Economics and IZA Institute of Labor EconomicsUniversity of Regensburg - Department of Economics and Econometrics
Downloads 18 (742,805)
Citation 2
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Information cascades, herding, network effects, experiment, internet

23.

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 200 (211,726)
Citation 4

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24.

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 167 (247,347)
Citation 10

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early warning indicators; credit gaps; HP filter

25.

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 165 (249,909)
Citation 24

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EWIs, ROC, area under the curve, macroprudential policy

26.

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 163 (252,506)
Citation 8

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

27.

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 161 (255,216)
Citation 3

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

28.

Predicting Recessions: Financial Cycle versus Term Spread

BIS Working Paper No. 818
Number of pages: 29 Posted: 14 Oct 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 152 (267,433)
Citation 6

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financial cycle, term spread, recession risk, panel probit mode

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 University of Virginia - Department of Economics and Darden School of Business
Downloads 92 (385,649)
Citation 1

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

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 University of Virginia - Department of Economics and Darden School of Business
Downloads 46 (558,778)
Citation 2

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

30.

Liquidity Risk, Cash-Flow Constraints and Systemic Feedbacks

Bank of England Working Paper No. 456
Number of pages: 42 Posted: 26 Jun 2012
Bank of EnglandEuropean Central Bank (ECB), Bank for International Settlements (BIS), Bank of England - Monetary Analysis and Bank of England
Downloads 112 (336,337)
Citation 16

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Systemic risk, funding liquidity risk, contagion, stress testing

31.

Central Bank Bond Purchases in Emerging Market Economies

Number of pages: 9 Posted: 18 Apr 2022
Yavuz Arslan, Mathias Drehmann and Boris Hofmann
University of Liverpool Management School, Bank for International Settlements (BIS) and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 64 (468,599)

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32.
Downloads 55 (503,496)
Citation 3

Leverage Dynamics and the Burden of Debt

Bank of Finland Research Discussion Paper No. 3/2016
Number of pages: 42 Posted: 06 Apr 2016 Last Revised: 18 Nov 2021
Mikael Juselius and Mathias Drehmann
Bank of Finland and Bank for International Settlements (BIS)
Downloads 54 (515,988)
Citation 1

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Leverage Dynamics and the Burden of Debt

Oxford Bulletin of Economics and Statistics, Vol. 82, Issue 2, pp. 347-364, 2020
Number of pages: 18 Posted: 02 Jun 2020
Mikael Juselius and Mathias Drehmann
Bank of Finland and Bank for International Settlements (BIS)
Downloads 1 (932,336)
Citation 1

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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: 18 Nov 2021
Mathias Drehmann, Mikael Juselius and Anton Korinek
Bank for International Settlements (BIS), Bank of Finland and University of Virginia - Department of Economics and Darden School of Business
Downloads 28 (661,185)

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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 Last Revised: 31 Jul 2022
Mathias Drehmann, Mikael Juselius and Anton Korinek
Bank for International Settlements (BIS), Bank of Finland and University of Virginia - Department of Economics and Darden School of Business
Downloads 12 (800,158)
Citation 5

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The Holt-Winters Filter and the One-Sided Hp Filter: A Close Correspondence

Number of pages: 9 Posted: 19 Jul 2022
Rodrigo Alfaro and Mathias Drehmann
Central Bank of Chile and Bank for International Settlements (BIS)
Downloads 7 (853,089)

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HP Filter, Holt-Winters Filter, Credit Cycle

The Holt-Winters Filter and the One-Sided Hp Filter: A Close Correspondence

Number of pages: 9 Posted: 19 Jul 2022
Rodrigo Alfaro and Mathias Drehmann
Central Bank of Chile and Bank for International Settlements (BIS)
Downloads 1 (932,336)

Abstract:

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HP Filter, Holt-Winters Filter, Credit Cycle