Mathias Drehmann
Senior Economist
Monetary and Economic Department, Committee on the Global Financial System (CGFS) Secretariat
Mathias Drehmann is currently working as a Senior Economist in the Monetary and Economic Department. His main expertise lies in financial stability analysis as well as micro- and macroprudential regulation. His research, for example, provided the basis for the countercyclical capital buffer adopted under Basel III. Previously, Mathias managed a research team at the Bank of England, which developed tools for stress testing and measuring financial stability. Before moving to the BIS, he was briefly seconded to the ECB research department. Over the years, Mathias has been involved in various sub-groups of the Basel Committee and the Committee on the Global Financial System (CGFS). Mathias holds a PhD from the University of Bonn and the London School of Economics as part of the European Doctoral Exchange Program.
Fields of interest
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Financial institutions and micro-prudential issues (incl. banking supervision)
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Financial stability and macro-prudential issues
Selected Publications
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"Anchoring countercyclical capital buffers: the role of credit aggregates", (joint with C. Borio and K. Tsatsaronis), International Journal of Central Banking, Volume 7, Number 4, December 2011.
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"The integrated impact of credit and interest rate risk on banks: A dynamic framework and stress testing application", (with S. Sorensen and M. Stringa), Journal of Banking and Finance, Vol 34 (4),pp 713-729, 2010
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"An economic capital model integrating credit and interest rate risk in the banking book" (with P. Alessandri), Journal of Banking and Finance, Vol 34 (4), pp 730-742, 2010.
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"Herding and contrarian behaviour in financial markets - an internet experiment", (with J. Oechssler and A. Roider), American Economic Review, Vol 95(5), pp1403-1426, 2005.
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"The challenges facing currency usage", (with C.A.E. Goodhart and M. Krueger), Economic Policy, Vol 17(34) , 2002
