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1
Journal Article
by Drehmann, Mathias Juselius, Mikael Published in International journal of forecasting (01.07.2014)“...Ideally, early warning indicators (EWI) of banking crises should be evaluated on the basis of their performance relative to the macroprudential policy maker’s...”
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2
Journal Article
“...We propose a method for measuring the systemic importance of interconnected banks. In order to capture contributions to system-wide risk, our measure accounts...”
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3
Journal Article
“...Funding liquidity risk has played a key role in all historical banking crises. Nevertheless, a measure for funding liquidity risk based on publicly available...”
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4
Journal Article
by Juselius, Mikael Drehmann, Mathias Published in Oxford bulletin of economics and statistics (01.04.2020)“...In addition to leverage, the debt service burden of households and firms is an important link between financial and real developments at the aggregate level...”
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5
Journal Article
“...Banks often measure credit and interest rate risk in the banking book separately and then add the risk measures to determine economic capital. This approach...”
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6
Journal Article
by Drehmann, Mathias Sorensen, Steffen Stringa, Marco Published in Journal of banking & finance (2010)“...Credit and interest rate risk are the two most important risks faced by commercial banks in their banking book. In this paper we derive a consistent and...”
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7
Journal Article
“...This article provides a simulation on how the countercyclical capital buffer designed in the Basel III package could impact on bank lending. It finds that the...”
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8
Journal Article
by Drehmann, Mathias Oechssler, Jorg Roider, Andreas Published in The American economic review (01.12.2005)“...We report results of an Internet experiment designed to test the theory of informational cascades in financial markets (Christopher Avery and Peter Zemsky,...”
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9
Journal Article
by Drehmann, Mathias Oechssler, Jörg Roider, Andreas Published in International journal of industrial organization (2007)“...Most real world situations that are susceptible to herding are also characterized by direct payoff externalities. Yet, the bulk of the theoretical and...”
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10
Journal Article
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11
Journal Article
by Borio, Claudio Drehmann, Mathias Xia, Fan Dora Published in Journal of macroeconomics (01.12.2020)“...Financial cycles can be important drivers of real activity, but there is scant evidence about how well they signal recession risks. We address this question,...”
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12
Journal Article
by Borio, Claudio Drehmann, Mathias Tsatsaronis, Kostas Published in Journal of financial stability (01.06.2014)“...We critically review the state of the art in macro stress testing, assessing its strengths and weaknesses. We argue that, given current technology, macro...”
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13
Book
“...Early warning indicators (EWIs) of banking crises should ideally be evaluated on the basis of their performance relative to the macroprudential policy maker's...”
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14
Journal Article
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16
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18
Journal Article
“...In addition to leverage, the debt service burden of households and firms is an important link between financial and real developments at the aggregate level...”
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