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Countercyclical capital buffers : exploring options
Drehmann, Mathias; Borio, Claudio E. V.; Gambacorta, … - 2010
Persistent link: https://www.econbiz.de/10008668639
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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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An economic capital model integrating credit and interest rate risk in the banking book
Alessandri, Piergiorgio; Drehmann, Mathias - 2010
Banks often measure credit and interest rate risk separately and then add the two risk measures to determine their overall economic capital. This approach misses complex interactions between the two risks. We develop a framework where credit and interest rate risks are analysed jointly. We focus...
Persistent link: https://www.econbiz.de/10003969368
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Measuring the systemic importance of interconnected banks
Drehmann, Mathias; Tarashev, Nikola A. - 2011
Persistent link: https://www.econbiz.de/10008903833
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El impacto integrado del riesgo de crédito y de tasa de interés bancarios : una perspectiva de valor económico y suficiencia de capital
Drehmann, Mathias; Sorensen, Steffen; Stringer, Marco - In: Monetaria 32 (2009) 1, pp. 63-115
Persistent link: https://www.econbiz.de/10003947891
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Towards an operational framework for financial stability : "fuzzy" measurement and its consequences
Borio, Claudio E. V.; Drehmann, Mathias - 2009
Persistent link: https://www.econbiz.de/10008822816
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The integrated impact of credit and interest rate risk on banks : an economic value and capital adequacy perspective
Drehmann, Mathias (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003616066
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Evaluación del riesgo de crisis bancarias : una revisión
Borio, Claudio E. V.; Drehmann, Mathias - In: Boletín / Centro de Estudios Monetarios Latinoamericanos 55 (2009) 3, pp. 139-153
Persistent link: https://www.econbiz.de/10008650809
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The integrated impact of credit and interest rate risk on banks : a dynamic framework and stress testing application
Drehmann, Mathias; Sorensen, Steffen; Stringa, Marco - In: Journal of banking & finance 34 (2010) 4, pp. 713-729
Persistent link: https://www.econbiz.de/10003966040
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An economic capital model integrating credit and interest rate risk in the banking book
Alessandri, Piergiorgio; Drehmann, Mathias - In: Journal of banking & finance 34 (2010) 4, pp. 730-742
Persistent link: https://www.econbiz.de/10003966042