Details about Harald Harry Scheule

This author is deceased.

Access statistics for papers by Harald Harry Scheule.

Last updated 2024-09-08. Update your information in the RePEc Author Service.

Short-id: psc592

Working Papers

2020

1. Benchmarking loss given default discount rates
   Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (1)
   See also Journal Article Benchmarking loss given default discount rates, Journal of Risk Model Validation, Journal of Risk Model Validation

2011

2. Empirical performance of loss given default prediction models
   Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (1)
   See also Journal Article Empirical performance of loss given default prediction models, Journal of Risk Model Validation, Journal of Risk Model Validation
3. Securitization Rating Performance and Agency Incentives
   Working Papers, Hong Kong Institute for Monetary Research
   See also Chapter Securitization rating performance and agency incentives, BIS Papers chapters, Bank for International Settlements (2011) (2011)

2010

4. Downturn Credit Portfolio Risk, Regulatory Capital and Prudential Incentives
   Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (12)
   See also Journal Article Downturn Credit Portfolio Risk, Regulatory Capital and Prudential Incentives*, International Review of Finance, International Review of Finance Ltd. (2010) View citations (12) (2010)

2009

5. Credit Portfolio Loss Forecasts for Economic Downturns
   Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (5)
   See also Journal Article Credit Portfolio Loss Forecasts for Economic Downturns, Financial Markets, Institutions & Instruments, John Wiley & Sons (2009) (2009)
6. The Empirical Relation between Credit Quality, Recovery and Correlation
   Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
   Also in Working Papers, Hong Kong Institute for Monetary Research (2009)

2008

7. Credit Losses in Economic Downturns - Empirical Evidence for Hong Kong Mortgage Loans
   Working Papers, Hong Kong Institute for Monetary Research
8. Downturn LGD for Hong Kong mortgage loan portfolios
   Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney
   See also Journal Article Downturn LGD for Hong Kong mortgage loan portfolios, Journal of Risk Model Validation, Journal of Risk Model Validation

2007

9. 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)
   See also Journal Article Multi-year dynamics for forecasting economic and regulatory capital in banking, Journal of Credit Risk, Journal of Credit Risk
10. 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 (18)
    See also Journal Article Stress-testing credit risk parameters: an application to retail loan portfolios, Journal of Risk Model Validation, Journal of Risk Model Validation

2006

11. 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 (6)

2005

12. A multi-factor approach for systematic default and recovery risk
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (16)
    See also Chapter A Multi-Factor Approach for Systematic Default and Recovery Risk, Springer Books, Springer (2006) View citations (1) (2006)
13. Rating Properties and their Implication on Basel II-Capital
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (6)

2004

14. Forecasting Credit Portfolio Risk
    Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank View citations (80)
15. Forecasting retail portfolio credit risk
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (21)
    See also Journal Article Forecasting Retail Portfolio Credit Risk, Journal of Risk Finance, Emerald Group Publishing Limited (2004) View citations (5) (2004)

2002

16. Modelling Default Rate Dynamics in the CreditRisk+ Framework
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (3)

Journal Articles

2023

1. Impact of mortgage soft information in loan pricing on default prediction using machine learning
   International Review of Finance, 2023, 23, (1), 158-186

2022

2. Benchmarking forecast approaches for mortgage credit risk for forward periods
   European Journal of Operational Research, 2022, 299, (2), 750-767 View citations (3)

2021

3. Positive Payment Shocks, Liquidity and Refinance Constraints and Default Risk of Home Equity Lines of Credit at End of Draw
   The Journal of Real Estate Finance and Economics, 2021, 62, (3), 423-454 View citations (2)
4. Systematic credit risk in securitised mortgage portfolios
   Journal of Banking & Finance, 2021, 122, (C) View citations (2)

2020

5. A cautionary tale of two extremes: The provision of government liquidity support in the banking sector
   Journal of Financial Stability, 2020, 51, (C) View citations (4)
6. Liquidity Constraints, Home Equity and Residential Mortgage Losses
   The Journal of Real Estate Finance and Economics, 2020, 61, (2), 208-246 View citations (3)
7. 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) View citations (5)

2018

8. A copula sample selection model for predicting multi-year LGDs and Lifetime Expected Losses
   Journal of Empirical Finance, 2018, 47, (C), 246-262 View citations (7)
9. Predicting loss severities for residential mortgage loans: A three-step selection approach
   European Journal of Operational Research, 2018, 270, (1), 246-259 View citations (9)
10. The impact of loan loss provisioning on bank capital requirements
    Journal of Financial Stability, 2018, 36, (C), 114-129 View citations (42)

2017

11. Funding liquidity and bank risk taking
    Journal of Banking & Finance, 2017, 82, (C), 203-216 View citations (152)
12. The value of bank capital buffers in maintaining financial system resilience
    Journal of Financial Stability, 2017, 33, (C), 23-40 View citations (19)
13. 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 View citations (3)

2016

14. Accuracy of mortgage portfolio risk forecasts during financial crises
    European Journal of Operational Research, 2016, 249, (2), 440-456 View citations (3)
15. The role of loan portfolio losses and bank capital for Asian financial system resilience
    Pacific-Basin Finance Journal, 2016, 40, (PB), 289-305 View citations (10)

2015

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

2014

17. Asset portfolio securitizations and cyclicality of regulatory capital
    European Journal of Operational Research, 2014, 237, (1), 289-302 View citations (5)
18. Forecasting Mortgage Securitization Risk Under Systematic Risk and Parameter Uncertainty
    Journal of Risk & Insurance, 2014, 81, (3), 563-586 View citations (2)
19. 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 View citations (22)

2013

20. Dynamic Implied Correlation Modeling and Forecasting in Structured Finance
    Journal of Futures Markets, 2013, 33, (11), 994-1023 View citations (1)
21. Ratings based capital adequacy for securitizations
    Journal of Banking & Finance, 2013, 37, (12), 5236-5247 View citations (2)
22. 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 View citations (2)

2012

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

2011

24. ARE WATCH PROCEDURES A CRITICAL INFORMATIONAL EVENT IN THE CREDIT RATINGS PROCESS? AN EMPIRICAL INVESTIGATION
    Journal of Financial Research, 2011, 34, (4), 617-640 View citations (8)
25. Default and Recovery Risk Dependencies in a Simple Credit Risk Model
    European Financial Management, 2011, 17, (1), 120-144 View citations (23)

2010

26. Downturn Credit Portfolio Risk, Regulatory Capital and Prudential Incentives*
    International Review of Finance, 2010, 10, (2), 185-207 View citations (12)
    See also Working Paper Downturn Credit Portfolio Risk, Regulatory Capital and Prudential Incentives, Published Paper Series (2010) View citations (12) (2010)

2009

27. Credit Portfolio Loss Forecasts for Economic Downturns
    Financial Markets, Institutions & Instruments, 2009, 18, (1), 1-26
    See also Working Paper Credit Portfolio Loss Forecasts for Economic Downturns, Published Paper Series (2009) View citations (5) (2009)
28. Credit rating impact on CDO evaluation
    Global Finance Journal, 2009, 19, (3), 235-251

2004

29. Forecasting Retail Portfolio Credit Risk
    Journal of Risk Finance, 2004, 5, (2), 16-32 View citations (5)
    See also Working Paper Forecasting retail portfolio credit risk, Published Paper Series (2004) View citations (21) (2004)

Undated

30. Benchmarking loss given default discount rates
    Journal of Risk Model Validation
    See also Working Paper Benchmarking loss given default discount rates, Published Paper Series (2020) View citations (1) (2020)
31. Downturn LGD for Hong Kong mortgage loan portfolios
    Journal of Risk Model Validation
    See also Working Paper Downturn LGD for Hong Kong mortgage loan portfolios, Published Paper Series (2008) (2008)
32. Empirical performance of loss given default prediction models
    Journal of Risk Model Validation
    See also Working Paper Empirical performance of loss given default prediction models, Published Paper Series (2011) View citations (1) (2011)
33. Forecasting credit event frequency – empirical evidence for West German firms
    Journal of Risk
34. Multi-year dynamics for forecasting economic and regulatory capital in banking
    Journal of Credit Risk
    See also Working Paper Multi-Year Dynamics for Forecasting Economic and Regulatory Capital in Banking, Published Paper Series (2007) View citations (5) (2007)
35. Stress-testing credit risk parameters: an application to retail loan portfolios
    Journal of Risk Model Validation
    See also Working Paper Stress-testing credit risk parameters: An application to retail loan portfolios, Published Paper Series (2007) View citations (18) (2007)
36. The role of model risk in extreme value theory for capital adequacy
    Journal of Risk

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
   See also Working Paper Securitization Rating Performance and Agency Incentives, Hong Kong Institute for Monetary Research (2011) (2011)

2006

2. A Multi-Factor Approach for Systematic Default and Recovery Risk
   Springer View citations (1)
   See also Working Paper A multi-factor approach for systematic default and recovery risk, Finance Discipline Group, UTS Business School, University of Technology, Sydney (2005) View citations (16) (2005)