Mathias Drehmann

Bank for International Settlements (BIS)

Centralbahnplatz 2

CH-4002 Basel

Switzerland

SCHOLARLY PAPERS

33

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15,672

SSRN CITATIONS
Rank 825

SSRN RANKINGS

Top 825

in Total Papers Citations

264

CROSSREF CITATIONS

970

Scholarly Papers (33)

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 2,571 (5,346)
Citation 13

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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 1,596 (11,751)
Citation 29

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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 1,190 (18,551)
Citation 89

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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 1,163 (19,202)
Citation 113

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

5.

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 1,160 (19,276)
Citation 17

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

6.
Downloads 1,109 ( 20,613)
Citation 25

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 614 (46,410)

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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 262 (127,171)
Citation 28

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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 233 (143,217)
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 798 (33,084)
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 580 (50,693)
Citation 9

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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 565 (52,367)
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 522 (57,935)
Citation 10

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countercyclical capital buffers, financial stability, procyclicality

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 348 (94,024)
Citation 1

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

12.

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 347 (94,601)
Citation 3

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13.

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, Bank for International Settlements (BIS) and Bank for International Settlements (BIS)
Downloads 328 (100,418)
Citation 1

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

14.

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 326 (101,124)

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

15.

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 324 (101,826)
Citation 13

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stress tests, financial instability, macroprudential

16.

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 303 (109,537)
Citation 7

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17.

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 268 (124,739)
Citation 11

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18.

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 266 (125,710)
Citation 12

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Systemic risk, Shapley values, Interbank positions

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 251 (133,490)
Citation 1

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20.

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 244 (137,343)
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
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 186 (177,279)
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
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 (600,318)
Citation 1
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Information cascades, herding, network effects, experiment, internet

22.

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 157 (205,378)
Citation 6

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23.

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, Bank for International Settlements (BIS) and Bank for International Settlements (BIS)
Downloads 156 (206,481)
Citation 6

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

24.

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 151 (212,211)
Citation 18

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EWIs, ROC, area under the curve, macroprudential policy

25.

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 132 (236,406)
Citation 3

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

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 123 (249,395)
Citation 4

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27.

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 108 (273,897)
Citation 10

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Systemic risk, funding liquidity risk, contagion, stress testing

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 106 (277,423)
Citation 5

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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 60 (393,129)

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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 35 (494,525)
Citation 2

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

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 71 (355,255)
Citation 6

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early warning indicators; credit gaps; HP filter

31.
Downloads 51 (418,191)
Citation 2

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 51 (425,242)
Citation 1

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

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)
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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: 27 Apr 2018
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 25 (551,851)

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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 University of Virginia - Department of Economics and Darden School of Business
Downloads 12 (644,685)
Citation 4

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33.

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 (554,237)
Citation 1
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