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Harald Scheule

Personal Details

First Name:Harald
Middle Name:
Last Name:Scheule
Suffix:
RePEc Short-ID:psc592
[This author has chosen not to make the email address public]
https://www.uts.edu.au/staff/harald.scheule

Affiliation

Finance Discipline Group
Business School
University of Technology Sydney

Sydney, Australia
http://www.business.uts.edu.au/finance/

+61 2 9514 7777
+61 2 9514 7711
PO Box 123, Broadway, NSW 2007
RePEc:edi:sfutsau (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Benjamin Bade & Daniel Roesch & Harald Scheule, 2011. "Empirical performance of loss given default prediction models," Published Paper Series 2011-2, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  2. Daniel Roesch & Harald Scheule, 2011. "Securitization Rating Performance and Agency Incentives," Working Papers 182011, Hong Kong Institute for Monetary Research.
  3. Daniel Roesch & Harald Scheule, 2010. "Downturn Credit Portfolio Risk, Regulatory Capital and Prudential Incentives," Published Paper Series 2010-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  4. Daniel Roesch & Harald Scheule, 2009. "Credit Portfolio Loss Forecasts for Economic Downturns," Published Paper Series 2009-2, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  5. Daniel Rosch & Harald Scheule, 2009. "The Empirical Relation between Credit Quality, Recovery, and Correlation," Working Papers 222009, Hong Kong Institute for Monetary Research.
  6. Daniel Roesch & Harald Scheule, 2008. "Downturn LGD for Hong Kong mortgage loan portfolios," Published Paper Series 2008-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  7. Daniel Rosch & Harald Scheule, 2008. "Credit Losses in Economic Downturns - Empirical Evidence for Hong Kong Mortgage Loans," Working Papers 152008, Hong Kong Institute for Monetary Research.
  8. Daniel Roesch & Harald Scheule, 2007. "Stress-testing credit risk parameters: An application to retail loan portfolios," Published Paper Series 2007-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  9. Daniel Roesch & Harald Scheule, 2007. "Multi-Year Dynamics for Forecasting Economic and Regulatory Capital in Banking," Published Paper Series 2007-2, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  10. Alfred Hamerle & Thilo Liebig & Harald Scheule, 2006. "Forecasting credit event frequency – empirical evidence for West German firms," Published Paper Series 2006-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  11. Daniel Roesch & Harald Scheule, 2005. "A multi-factor approach for systematic default and recovery risk," Published Paper Series 2005-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  12. Robert Rauhmeier & Harald Scheule, 2005. "Rating Properties and their Implication on Basel II-Capital," Published Paper Series 2005-2, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  13. Hamerle, Alfred & Liebig, Thilo & Scheule, Harald, 2004. "Forecasting Credit Portfolio Risk," Discussion Paper Series 2: Banking and Financial Studies 2004,01, Deutsche Bundesbank.
  14. Daniel Roesch & Harald Scheule, 2004. "Forecasting retail portfolio credit risk," Published Paper Series 2004-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  15. Leif Boegelein & Alfred Hamerle & Robert Rauhmeier & Harald Scheule, 2002. "Modelling Default Rate Dynamics in the CreditRisk+ Framework," Published Paper Series 2002-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.

Articles

  1. Hung Xuan Do & Daniel Rösch & Harald Scheule, 2020. "Liquidity Constraints, Home Equity and Residential Mortgage Losses," The Journal of Real Estate Finance and Economics, Springer, vol. 61(2), pages 208-246, August.
  2. Luong, Thi Mai & Pieters, Russell & Scheule, Harald & Wu, Eliza, 2020. "The impact of government guarantees on banks' wholesale funding costs and lending behavior: Evidence from a natural experiment," Pacific-Basin Finance Journal, Elsevier, vol. 61(C).
  3. Krüger, Steffen & Rösch, Daniel & Scheule, Harald, 2018. "The impact of loan loss provisioning on bank capital requirements," Journal of Financial Stability, Elsevier, vol. 36(C), pages 114-129.
  4. Krüger, Steffen & Oehme, Toni & Rösch, Daniel & Scheule, Harald, 2018. "A copula sample selection model for predicting multi-year LGDs and Lifetime Expected Losses," Journal of Empirical Finance, Elsevier, vol. 47(C), pages 246-262.
  5. Do, Hung Xuan & Rösch, Daniel & Scheule, Harald, 2018. "Predicting loss severities for residential mortgage loans: A three-step selection approach," European Journal of Operational Research, Elsevier, vol. 270(1), pages 246-259.
  6. Khan, Muhammad Saifuddin & Scheule, Harald & Wu, Eliza, 2017. "Funding liquidity and bank risk taking," Journal of Banking & Finance, Elsevier, vol. 82(C), pages 203-216.
  7. Bui, Christina & Scheule, Harald & Wu, Eliza, 2017. "The value of bank capital buffers in maintaining financial system resilience," Journal of Financial Stability, Elsevier, vol. 33(C), pages 23-40.
  8. Claußen, Arndt & Löhr, Sebastian & Rösch, Daniel & Scheule, Harald, 2017. "Valuation of systematic risk in the cross-section of credit default swap spreads," The Quarterly Review of Economics and Finance, Elsevier, vol. 64(C), pages 183-195.
  9. Lee, Yongwoong & Rösch, Daniel & Scheule, Harald, 2016. "Accuracy of mortgage portfolio risk forecasts during financial crises," European Journal of Operational Research, Elsevier, vol. 249(2), pages 440-456.
  10. Rösch, Daniel & Scheule, Harald, 2016. "The role of loan portfolio losses and bank capital for Asian financial system resilience," Pacific-Basin Finance Journal, Elsevier, vol. 40(PB), pages 289-305.
  11. Rainer Jobst & Daniel Rösch & Harald Scheule & Martin Schmelzle, 2015. "A Simple Econometric Approach for Modeling Stress Event Intensities," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(4), pages 300-320, April.
  12. Lützenkirchen, Kristina & Rösch, Daniel & Scheule, Harald, 2014. "Asset portfolio securitizations and cyclicality of regulatory capital," European Journal of Operational Research, Elsevier, vol. 237(1), pages 289-302.
  13. D Rösch & H Scheule, 2014. "Forecasting probabilities of default and loss rates given default in the presence of selection," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 65(3), pages 393-407, March.
  14. Daniel Rösch & Harald Scheule, 2014. "Forecasting Mortgage Securitization Risk Under Systematic Risk and Parameter Uncertainty," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 81(3), pages 563-586, September.
  15. Sebastian Löhr & Olga Mursajew & Daniel Rösch & Harald Scheule, 2013. "Dynamic Implied Correlation Modeling and Forecasting in Structured Finance," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(11), pages 994-1023, November.
  16. Lützenkirchen, Kristina & Rösch, Daniel & Scheule, Harald, 2013. "Ratings based capital adequacy for securitizations," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5236-5247.
  17. Matthias Bodenstedt & Daniel R�sch & Harald Scheule, 2013. "The path to impairment: do credit-rating agencies anticipate default events of structured finance transactions?," The European Journal of Finance, Taylor & Francis Journals, vol. 19(9), pages 841-860, October.
  18. Rösch, Daniel & Scheule, Harald, 2012. "Capital incentives and adequacy for securitizations," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 733-748.
  19. Howard Chan & Robert Faff & Paula Hill & Harald Scheule, 2011. "Are Watch Procedures A Critical Informational Event In The Credit Ratings Process? An Empirical Investigation," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 34(4), pages 617-640, December.
  20. Benjamin Bade & Daniel Rösch & Harald Scheule, 2011. "Default and Recovery Risk Dependencies in a Simple Credit Risk Model," European Financial Management, European Financial Management Association, vol. 17(1), pages 120-144, January.
  21. Daniel Rösch & Harald Scheule, 2010. "Downturn Credit Portfolio Risk, Regulatory Capital and Prudential Incentives," International Review of Finance, International Review of Finance Ltd., vol. 10(2), pages 185-207, June.
  22. Daniel R÷Sch & Harald Scheule, 2010. "Downturn Credit Portfolio Risk, Regulatory Capital and Prudential Incentives-super-," International Review of Finance, International Review of Finance Ltd., vol. 10(Financial), pages 185-207.
  23. Rösch, Daniel & Scheule, Harald, 2009. "Credit rating impact on CDO evaluation," Global Finance Journal, Elsevier, vol. 19(3), pages 235-251.

Chapters

  1. Daniel Rösch & Harald Scheule, 2011. "Securitization rating performance and agency incentives," BIS Papers chapters, in: Bank for International Settlements (ed.),Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 287-314, Bank for International Settlements.

More information

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 3 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-BAN: Banking (3) 2009-04-25 2009-09-11 2011-07-13
  2. NEP-RMG: Risk Management (2) 2009-04-25 2009-09-11
  3. NEP-ORE: Operations Research (1) 2009-09-11
  4. NEP-URE: Urban & Real Estate Economics (1) 2009-04-25

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