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Publications by Mathias Drehmann

An Economic Capital Model Integrating Credit and Interest Rate Risk in the Banking Book

Journal of Banking and Finance

English

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Interest Rate Shocks and Credit Risk

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Unbiased Capital Allocation in an Asymptotic Single Risk Factor (ASRF) Model of Credit Risk

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The Effects of Macroeconomic Conditions on Loan Portfolio Credit Risk and Banking System Interest Income

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Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread: A Stochastic Volatility Modelling Approach

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Interest Rate, Debt, Distribution and Capital Accumulation in a Post-Kaleckian Model

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Credit Risk Management System in Commercial Banking

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Interest and Exchange Rate Shocks on the Capital Market Risk and Capital Mobility: Evidence From Four Asian Countries

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Interest Rate Reforms and Credit Allocation in Tanzania: An Application of the ARDL Bounds Testing Approach

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