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
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Working Papers
2020
- 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
- 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
- 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
- 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
- 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)
- 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
- Credit Losses in Economic Downturns - Empirical Evidence for Hong Kong Mortgage Loans
Working Papers, Hong Kong Institute for Monetary Research
- 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
- 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
- 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
- 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
- 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)
- 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
- Forecasting Credit Portfolio Risk
Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank View citations (80)
- 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
- 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
- Impact of mortgage soft information in loan pricing on default prediction using machine learning
International Review of Finance, 2023, 23, (1), 158-186
2022
- Benchmarking forecast approaches for mortgage credit risk for forward periods
European Journal of Operational Research, 2022, 299, (2), 750-767 View citations (3)
2021
- 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)
- Systematic credit risk in securitised mortgage portfolios
Journal of Banking & Finance, 2021, 122, (C) View citations (2)
2020
- 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)
- Liquidity Constraints, Home Equity and Residential Mortgage Losses
The Journal of Real Estate Finance and Economics, 2020, 61, (2), 208-246 View citations (3)
- 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
- 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)
- 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)
- The impact of loan loss provisioning on bank capital requirements
Journal of Financial Stability, 2018, 36, (C), 114-129 View citations (41)
2017
- Funding liquidity and bank risk taking
Journal of Banking & Finance, 2017, 82, (C), 203-216 View citations (139)
- The value of bank capital buffers in maintaining financial system resilience
Journal of Financial Stability, 2017, 33, (C), 23-40 View citations (19)
- 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
- Accuracy of mortgage portfolio risk forecasts during financial crises
European Journal of Operational Research, 2016, 249, (2), 440-456 View citations (3)
- 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
- A Simple Econometric Approach for Modeling Stress Event Intensities
Journal of Futures Markets, 2015, 35, (4), 300-320 View citations (1)
2014
- Asset portfolio securitizations and cyclicality of regulatory capital
European Journal of Operational Research, 2014, 237, (1), 289-302 View citations (5)
- Forecasting Mortgage Securitization Risk Under Systematic Risk and Parameter Uncertainty
Journal of Risk & Insurance, 2014, 81, (3), 563-586 View citations (2)
- 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
- Dynamic Implied Correlation Modeling and Forecasting in Structured Finance
Journal of Futures Markets, 2013, 33, (11), 994-1023 View citations (1)
- Ratings based capital adequacy for securitizations
Journal of Banking & Finance, 2013, 37, (12), 5236-5247 View citations (2)
- 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
- Capital incentives and adequacy for securitizations
Journal of Banking & Finance, 2012, 36, (3), 733-748 View citations (13)
2011
- 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)
- Default and Recovery Risk Dependencies in a Simple Credit Risk Model
European Financial Management, 2011, 17, (1), 120-144 View citations (23)
2010
- 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
- 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)
- Credit rating impact on CDO evaluation
Global Finance Journal, 2009, 19, (3), 235-251
2004
- 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
- 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)
- 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)
- 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)
- Forecasting credit event frequency – empirical evidence for West German firms
Journal of Risk
- 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)
- 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)
- The role of model risk in extreme value theory for capital adequacy
Journal of Risk
Chapters
2011
- 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
- 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)
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