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Details about Harald Scheule

Homepage:https://www.uts.edu.au/staff/harald.scheule
Workplace:Finance Discipline Group, Business School, University of Technology Sydney, (more information at EDIRC)

Access statistics for papers by Harald Scheule.

Last updated 2020-08-09. Update your information in the RePEc Author Service.

Short-id: psc592


Jump to Journal Articles Chapters

Working Papers

2011

  1. Empirical performance of loss given default prediction models
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (1)
  2. Securitization Rating Performance and Agency Incentives
    Working Papers, Hong Kong Institute for Monetary Research Downloads
    See also Chapter (2011)

2010

  1. Downturn Credit Portfolio Risk, Regulatory Capital and Prudential Incentives
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (3)
    See also Journal Article in International Review of Finance (2010)

2009

  1. Credit Portfolio Loss Forecasts for Economic Downturns
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (5)
  2. The Empirical Relation between Credit Quality, Recovery and Correlation
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads
    Also in Working Papers, Hong Kong Institute for Monetary Research (2009) Downloads

2008

  1. Credit Losses in Economic Downturns - Empirical Evidence for Hong Kong Mortgage Loans
    Working Papers, Hong Kong Institute for Monetary Research Downloads
  2. Downturn LGD for Hong Kong mortgage loan portfolios
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney

2007

  1. Multi-Year Dynamics for Forecasting Economic and Regulatory Capital in Banking
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (5)
  2. Stress-testing credit risk parameters: An application to retail loan portfolios
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (14)

2006

  1. Forecasting credit event frequency – empirical evidence for West German firms
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (4)

2005

  1. A multi-factor approach for systematic default and recovery risk
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (12)
  2. Rating Properties and their Implication on Basel II-Capital
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (5)

2004

  1. Forecasting Credit Portfolio Risk
    Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank Downloads View citations (75)
  2. Forecasting retail portfolio credit risk
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (11)

2002

  1. Modelling Default Rate Dynamics in the CreditRisk+ Framework
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (1)

Journal Articles

2020

  1. Liquidity Constraints, Home Equity and Residential Mortgage Losses
    The Journal of Real Estate Finance and Economics, 2020, 61, (2), 208-246 Downloads View citations (1)
  2. The impact of government guarantees on banks' wholesale funding costs and lending behavior: Evidence from a natural experiment
    Pacific-Basin Finance Journal, 2020, 61, (C) Downloads

2018

  1. A copula sample selection model for predicting multi-year LGDs and Lifetime Expected Losses
    Journal of Empirical Finance, 2018, 47, (C), 246-262 Downloads View citations (1)
  2. Predicting loss severities for residential mortgage loans: A three-step selection approach
    European Journal of Operational Research, 2018, 270, (1), 246-259 Downloads View citations (1)
  3. The impact of loan loss provisioning on bank capital requirements
    Journal of Financial Stability, 2018, 36, (C), 114-129 Downloads View citations (11)

2017

  1. Funding liquidity and bank risk taking
    Journal of Banking & Finance, 2017, 82, (C), 203-216 Downloads View citations (34)
  2. The value of bank capital buffers in maintaining financial system resilience
    Journal of Financial Stability, 2017, 33, (C), 23-40 Downloads View citations (2)
  3. Valuation of systematic risk in the cross-section of credit default swap spreads
    The Quarterly Review of Economics and Finance, 2017, 64, (C), 183-195 Downloads View citations (1)

2016

  1. Accuracy of mortgage portfolio risk forecasts during financial crises
    European Journal of Operational Research, 2016, 249, (2), 440-456 Downloads View citations (3)
  2. The role of loan portfolio losses and bank capital for Asian financial system resilience
    Pacific-Basin Finance Journal, 2016, 40, (PB), 289-305 Downloads View citations (9)

2015

  1. A Simple Econometric Approach for Modeling Stress Event Intensities
    Journal of Futures Markets, 2015, 35, (4), 300-320 Downloads View citations (1)

2014

  1. Asset portfolio securitizations and cyclicality of regulatory capital
    European Journal of Operational Research, 2014, 237, (1), 289-302 Downloads View citations (4)
  2. Forecasting Mortgage Securitization Risk Under Systematic Risk and Parameter Uncertainty
    Journal of Risk & Insurance, 2014, 81, (3), 563-586 Downloads View citations (2)
  3. Forecasting probabilities of default and loss rates given default in the presence of selection
    Journal of the Operational Research Society, 2014, 65, (3), 393-407 Downloads View citations (18)

2013

  1. Dynamic Implied Correlation Modeling and Forecasting in Structured Finance
    Journal of Futures Markets, 2013, 33, (11), 994-1023 Downloads View citations (1)
  2. Ratings based capital adequacy for securitizations
    Journal of Banking & Finance, 2013, 37, (12), 5236-5247 Downloads View citations (2)
  3. The path to impairment: do credit-rating agencies anticipate default events of structured finance transactions?
    The European Journal of Finance, 2013, 19, (9), 841-860 Downloads View citations (2)

2012

  1. Capital incentives and adequacy for securitizations
    Journal of Banking & Finance, 2012, 36, (3), 733-748 Downloads View citations (13)

2011

  1. ARE WATCH PROCEDURES A CRITICAL INFORMATIONAL EVENT IN THE CREDIT RATINGS PROCESS? AN EMPIRICAL INVESTIGATION
    Journal of Financial Research, 2011, 34, (4), 617-640 Downloads View citations (8)
  2. Default and Recovery Risk Dependencies in a Simple Credit Risk Model
    European Financial Management, 2011, 17, (1), 120-144 Downloads View citations (15)

2010

  1. Downturn Credit Portfolio Risk, Regulatory Capital and Prudential Incentives*
    International Review of Finance, 2010, 10, (2), 185-207 Downloads View citations (2)
    See also Working Paper (2010)

2009

  1. Credit rating impact on CDO evaluation
    Global Finance Journal, 2009, 19, (3), 235-251 Downloads

Chapters

2011

  1. Securitization rating performance and agency incentives
    A chapter in Portfolio and risk management for central banks and sovereign wealth funds, 2011, vol. 58, pp 287-314 Downloads
    See also Working Paper (2011)
 
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