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Funding liquidity risk : definition and measurement
Drehmann, Mathias; Nikolaou, Kleopatra - 2009
In this paper we propose definitions of funding liquidity and funding liquidity risk and present a simple, yet intuitive, measure of funding liquidity risk based on data from open market operations. Our empirical analysis uses a unique data set of 135 main refinancing operation auctions...
Persistent link: https://www.econbiz.de/10003832073
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Funding liquidity risk : definition and measurement
Drehmann, Mathias; Nikolaou, Kleopatra - 2010
Persistent link: https://www.econbiz.de/10008668643
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Stress tests: objectives, challenges and modelling choices
Drehmann, Mathias - In: Sveriges Riksbank economic review (2008) 2, pp. 60-92
Persistent link: https://www.econbiz.de/10003727796
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Macroeconomic stress-testing banks : a survey of methodologies
Drehmann, Mathias - In: Stress-testing the banking system : methodologies and …, (pp. 37-67). 2009
Persistent link: https://www.econbiz.de/10003906126
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Total credit as an early warning indicator for systemic banking crises
Drehmann, Mathias - In: BIS quarterly review : international banking and … (2013), pp. 41-45
Persistent link: https://www.econbiz.de/10009753821
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Issues in money, banking and herding
Drehmann, Mathias - 2003
Persistent link: https://www.econbiz.de/10001746688
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Funding liquidity risk: definition and measurement
Drehmann, Mathias; Nikolaou, Kleopatra - 2009
In this paper we propose definitions of funding liquidity and funding liquidity risk and present a simple, yet intuitive, measure of funding liquidity risk based on data from open market operations. Our empirical analysis uses a unique data set of 135 main refinancing operation auctions...
Persistent link: https://www.econbiz.de/10011605070
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Funding Liquidity Risk : Definition and Measurement
Drehmann, Mathias - 2009
In this paper we propose definitions of funding liquidity and funding liquidity risk and present a simple, yet intuitive, measure of funding liquidity risk based on data from open market operations. Our empirical analysis uses a unique data set of 135 main refinancing operation auctions...
Persistent link: https://www.econbiz.de/10012765031
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Funding Liquidity Risk : Definition and Measurement
Drehmann, Mathias - 2009
In this paper we propose definitions of funding liquidity and funding liquidity risk and present a simple, yet intuitive, measure of funding liquidity risk based on data from open market operations. Our empirical analysis uses a unique data set of 135 main refinancing operation auctions...
Persistent link: https://www.econbiz.de/10012719297
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Funding liquidity risk: Definition and measurement
Drehmann, Mathias; Nikolaou, Kleopatra - In: Journal of banking & finance 37 (2013) 7, pp. 2173-2182
Persistent link: https://www.econbiz.de/10010112257