Harald (Harry) Scheule

University of Technology Sydney (UTS) - School of Finance and Economics

Professor of Finance

P.O. Box 123

Broadway, NSW 2007

Australia

http://https://www.uts.edu.au/staff/harald.scheule

Financial Research Network

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

SCHOLARLY PAPERS

38

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CITATIONS
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21

Scholarly Papers (38)

1.

Stress-Testing Credit Risk Parameters: An Application to Retail Loan Portfolios

Journal of Risk Model Validation, Vol. 1, No. 1, pp. 55-75, 2007
Number of pages: 20 Posted: 01 Nov 2011
Daniel Roesch and Harald (Harry) Scheule
University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 980 (21,952)

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Basel II, Business Cycle, Capital Adequacy, Correlation, Credit Risk, Default Probability, Expected Loss, Stress-test, Value-at-Risk

Rating Performance and Agency Incentives of Structured Finance Transactions

Paolo Baffi Centre Research Paper No. 2010-78
Number of pages: 42 Posted: 24 Jul 2010 Last Revised: 20 Nov 2010
Daniel Roesch and Harald (Harry) Scheule
University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 552 (47,661)

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Asset-backed Security, Collateralized Debt Obligation, Economic Downturn, Fee Revenue, Forecasting, Global Financial Crisis, Home Equity Loans, Impairment Rate, Mortgage-backed Security, Structured Finance Rating

Rating Performance and Agency Incentives of Structured Finance Transactions

Finlawmetrics 2010 Conference Paper
Number of pages: 41 Posted: 05 Aug 2009 Last Revised: 31 Jan 2010
Daniel Roesch and Harald (Harry) Scheule
University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 360 (80,572)

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asset-backed security, collateralized debt obligation, economic downturn, fee revenue, forecasting, home equity loans, impairment rate, mortgage-backed security, structured finance rating, Global Financial crisis

Securitization Rating Performance and Agency Incentives

Finance and Corporate Governance Conference 2011 Paper
Number of pages: 52 Posted: 30 Aug 2010 Last Revised: 15 Feb 2011
Daniel Roesch and Harald (Harry) Scheule
University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 309 (95,894)

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Asset-backed Security, Credit Rating Agency, Collateralized Debt Obligation, Economic Downturn, Fee Revenue, Forecasting, Global Financial Crisis, Home Equity Loans, Impairment, Mortgage-backed Security, Rating, Securitization, Structured Finance Transaction

Securitization Rating Performance and Agency Incentives

HKIMR Working Paper No.18/2011
Number of pages: 52 Posted: 28 Jun 2011
Daniel Roesch and Harald (Harry) Scheule
University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 272 (110,110)

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asset-backed security, credit rating agency, collateralized debt obligation, economic downturn, fee revenue, forecasting, Global Financial Crisis, home equity loans, impairment, mortgage-backed security, rating, securitization

Securitization Rating Performance and Agency Incentives

Number of pages: 52 Posted: 01 Mar 2011
Daniel Roesch and Harald (Harry) Scheule
University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 107 (251,487)

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Credit Ratings, Collateralized Debt Obligations, Asset Backed Securities, Financial Crisis

4.

Credit Losses in Economic Downturns - Empirical Evidence for Hong Kong Mortgage Loans

HKIMR Working Paper No. 15/2008
Number of pages: 19 Posted: 06 Jan 2009
Harald (Harry) Scheule
University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 427 (66,421)

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Basel II, Business Cycle, Capital Adequacy, Correlation, Credit Risk, Economic Downturn, Expected Loss, Fixed Income, Loss Given Default, Probability of Default, Value-at-Risk

5.

Empirical Performance of LGD Prediction Models

Journal of Risk Model Validation, Vol. 5, No. 2, 2011, pp. 25-44
Number of pages: 26 Posted: 11 Apr 2011 Last Revised: 13 Nov 2013
Benjamin Bade, Daniel Roesch and Harald (Harry) Scheule
Leibniz Universität Hannover, University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 409 (70,010)
Citation 1

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Asset Value, Correlation, Credit Portfolio, Loss Given Default, Probability of Default, Recovery, Forecasting

6.

The Path to Impairment: Do Credit Rating Agencies Anticipate Default Events of Structured Finance Transactions?

European Journal of Finance 19(9), 2013, 841-860
Number of pages: 29 Posted: 06 Jun 2011 Last Revised: 19 Nov 2015
Matthias Bodenstedt, Daniel Roesch and Harald (Harry) Scheule
University of Cambridge - Judge Business School, University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 339 (87,096)

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Anticipation Coefficient, Credit Rating Agencies, Rating Quality, Global Financial Crisis, Structured Finance Rating

7.

Downturn Risk: Another View on the Current Financial Crisis

Number of pages: 15 Posted: 19 Mar 2011
Daniel Roesch and Harald (Harry) Scheule
University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 331 (89,433)

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Credit Portfolio Risk, Economic Downturn, Financial Crisis, Model Risk, Securitization

8.

The Empirical Relation between Credit Quality, Recovery, and Correlation

HKIMR Working Paper No.22/2009
Number of pages: 38 Posted: 03 Sep 2009
Daniel Roesch and Harald (Harry) Scheule
University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 323 (91,842)

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Asset Value, Correlation, Credit Portfolio, Loss Given Default, Merton Model, Probability of Default, Recovery, Volatility

9.

Modelling and Predicting of Australian Mortgage Delinquency Risk: A Preliminary Data Analysis

Number of pages: 25 Posted: 30 Jan 2013
Daniel Roesch, Harald (Harry) Scheule and Param Silvapulle
University of Regensburg, University of Technology Sydney (UTS) - School of Finance and Economics and Monash University - Department of Econometrics & Business Statistics
Downloads 246 (122,726)

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Basel III, correlation, credit risk, default probability, delinquency, exposure at default, loss given default, mortgage, mortgage-backed security

10.

The Impact of Bank Liquidity on Bank Risk Taking: Do High Capital Buffers and Big Banks Help or Hinder?

27th Australasian Finance and Banking Conference 2014 Paper
Number of pages: 45 Posted: 19 Aug 2014 Last Revised: 09 Jun 2019
Muhammad Saifuddin Khan, Harald (Harry) Scheule and Eliza Wu
University of Technology Sydney (UTS) - School of Finance and Economics, University of Technology Sydney (UTS) - School of Finance and Economics and The University of Sydney - Business School
Downloads 226 (133,584)
Citation 7

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Liquidity, bank risk, asset risk, liquidity risk, capital buffer, bank size

11.

Systemic Risk in Commercial Bank Lending

Number of pages: 47 Posted: 28 Feb 2014
Daniel Roesch and Harald (Harry) Scheule
University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 222 (135,901)

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Asset correlation; Bank capital buffer; Basel Committee on Banking Supervision; Credit portfolio risk; Commercial banks; Regulation; Systemic risk.

Default and Recovery Risk Dependencies in a Simple Credit Risk Model

European Financial Management, Vol. 17, No. 1, 2011, pp. 120-144
Number of pages: 36 Posted: 10 Nov 2013
Benjamin Bade, Daniel Roesch and Harald (Harry) Scheule
Leibniz Universität Hannover, University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 211 (142,382)

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Asset Value, Correlation, Credit Portfolio, Loss Given Default, Merton Model, Probability of Default, Recovery, Volatility

Default and Recovery Risk Dependencies in a Simple Credit Risk Model

European Financial Management, Vol. 17, Issue 1, pp. 120-144, 2010
Number of pages: 25 Posted: 01 Jan 2011
Benjamin Bade, Daniel Rsch and Harald (Harry) Scheule
Leibniz Universität Hannover, affiliation not provided to SSRN and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 4 (641,306)
Citation 12
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asset value, correlation, credit portfolio, loss given default, Merton model, probability of default, recovery, volatility

13.

Forecasting Probabilities of Default and Loss Rates Given Default in the Presence of Selection

Journal of the Operational Research Society 65, 2014, 393-407
Number of pages: 51 Posted: 10 Nov 2013 Last Revised: 19 Nov 2015
Daniel Roesch and Harald (Harry) Scheule
University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 192 (155,807)
Citation 2

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Asset Value, Correlation, Credit Portfolio, Loss Given Default, Merton Model, Probability of Default, Recovery, Tobit Model, Volatility

14.

Decomposing the Smile: Systematic Credit Risk in Mortgage Portfolios

CIFR Paper No. 012/2014
Number of pages: 48 Posted: 24 May 2014 Last Revised: 29 May 2014
Yongwoong Lee, Daniel Roesch and Harald (Harry) Scheule
Department of International Finance, Hankuk University of Foreign Studies, University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 172 (171,963)

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Asset correlation, Basel capital, Loss given default, Mortgage portfolio, Probability of default, State space model, Systematic risk.

15.

The Impact of Positive Payment Shocks on Mortgage Credit Risk – A Natural Experiment from Home Equity Lines of Credit at End of Draw

Number of pages: 49 Posted: 20 May 2016
Min Qi and Harald (Harry) Scheule
Office of the Comptroller of the Currency - Credit Risk Analysis Division and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 161 (181,962)

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Default, End of Draw, Home Equity Lines of Credit, Lending Standards, Payment Shock, Payoff, Refinance, Utilization

16.

Valuation of Systematic Risk in the Cross-Section of Credit Default Swap Spreads

Number of pages: 58 Posted: 17 Nov 2013
Sebastian Löhr, Arndt Claussen, Daniel Roesch and Harald (Harry) Scheule
Leibniz Universität Hannover, Leibniz Universität Hannover, University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 126 (222,033)
Citation 1

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Credit Derivatives, Cross-section of Credit Default Swap Spreads, Systematic Risk

17.

Ratings Based Capital Adequacy for Securitizations

Journal of Banking and Finance, 37, 2013, 5236-5247, CIFR Paper No. 010/2014
Number of pages: 39 Posted: 10 Nov 2013 Last Revised: 15 Nov 2015
Kristina Lützenkirchen, Daniel Roesch and Harald (Harry) Scheule
Leibniz University of Hannover, University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 117 (234,676)

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Asset-Backed Security, Basel II and III, Collateralized Debt Obligation, Economic Downturn, Mortgage-Backed Securities, Home Equity Loan Securities, Ratings-Based Approach, Regulation, Regulatory Capital, Risk Weights, Securitization

18.

Dynamic Implied Correlation Modeling and Forecasting in Structured Finance

Journal of Futures Markets 33 (11), 994-1023 (2013)
Number of pages: 47 Posted: 10 Nov 2013 Last Revised: 19 Nov 2015
Sebastian Löhr, Olga Mursajew, Daniel Roesch and Harald (Harry) Scheule
Leibniz Universität Hannover, Leibniz Universität Hannover, University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 112 (242,162)

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Base Correlations, Dynamic Panel Regression, Implied Correlations, Single-tranche Collateralized Debt Obligations, Spread Forecast

19.

The Value of Bank Capital Buffers in Maintaining Financial System Resilience

CIFR Paper No. 089/2016
Number of pages: 46 Posted: 08 Feb 2016 Last Revised: 30 Aug 2016
Christina Bui, Harald (Harry) Scheule and Eliza Wu
University of Technology Sydney (UTS), UTS Business School, University of Technology Sydney (UTS) - School of Finance and Economics and The University of Sydney - Business School
Downloads 100 (261,980)

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Capital Buffer, Financial System Inquiry, Model Risk, Systemic Risk, System Resilience

20.

A Multi-Factor Approach for Systematic Default and Recovery Risk

Journal of Fixed Income, Vol. 15, No. 2, 2005, pp. 63-75, The Basel II Risk Parameters, 2006, pp. 105-126
Number of pages: 32 Posted: 10 Nov 2013 Last Revised: 13 Nov 2013
Daniel Roesch and Harald (Harry) Scheule
University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 98 (265,541)
Citation 1

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21.

Forecasting Mortgage Securitization Risk under Systematic Risk and Parameter Uncertainty

Journal of Risk and Insurance, 81, 2013, 563-586, CIFR Paper No. 009/2014
Number of pages: 39 Posted: 30 Oct 2013 Last Revised: 19 Nov 2015
Daniel Roesch and Harald (Harry) Scheule
University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 94 (272,711)
Citation 1

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Economic Capital, Global Financial Crisis, Home Equity Loan Security, Mortgage-backed Security, Parameter Uncertainty, Rating, Securitization, Systematic Risk, Value-at-Risk

22.

Liquidity Constraints, Home Equity and Residential Mortgage Losses

CIFR Paper No. 122/2016
Number of pages: 50 Posted: 02 Sep 2016 Last Revised: 22 Jul 2018
Hung Xuan Do, Daniel Roesch and Harald (Harry) Scheule
Massey University, Albany campus, University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 83 (294,906)

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Cure, Loss Given Default, Liquidity Constraints, Home Equity, Mortgage, Selection

23.

Downturn Credit Portfolio Risk, Regulatory Capital and Prudential Incentives

International Review of Finance, Vol. 10, No. 2, 2010, pp. 185-207
Number of pages: 36 Posted: 10 Nov 2013
Daniel Roesch and Harald (Harry) Scheule
University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 75 (313,107)
Citation 1

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Basel II, Business Cycle, Capital Adequacy, Correlation, Credit Portfolio Risk, Credit Value-at-Risk, Economic Downturn, Expected Loss, Loss Given Default, Probability of Default, Value-at-Risk

Credit Portfolio Loss Forecasts for Economic Downturns

Financial Markets, Institutions & Instruments, Vol. 18, No. 1, 2009, pp. 1-26
Number of pages: 29 Posted: 10 Nov 2013
Daniel Roesch and Harald (Harry) Scheule
University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 68 (334,462)

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Basel II, Business Cycle, Capital Adequacy, Corporate Bond, Correlation, Credit Risk, Economic Downturn, Expected Loss, Fixed Income, Loss Given Default,Probability of Default, Value-at-Risk

Credit Portfolio Loss Forecasts for Economic Downturns

Financial Markets, Institutions & Instruments, Vol. 18, Issue 1, pp. 1-26, February 2009
Number of pages: 26 Posted: 25 Jan 2009
Daniel Roesch and Harald (Harry) Scheule
University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 7 (619,444)
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25.

A Theoretical and Empirical Analysis of Alternative Discount Rate Concepts for Computing LGDs Using Historical Bank Workout Data

Number of pages: 40 Posted: 03 Jun 2017 Last Revised: 14 Jun 2017
Harald (Harry) Scheule and Stephan Jortzik
University of Technology Sydney (UTS) - School of Finance and Economics and Independent
Downloads 53 (373,795)

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LGD, Discount Rate, GCD, Global Credit Data

26.

Capital Incentives and Adequacy for Securitizations

Journal of Banking and Finance, Vol. 36, No. 3, 2012, pp. 733-748
Number of pages: 50 Posted: 10 Nov 2013
Daniel Roesch and Harald (Harry) Scheule
University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 53 (373,795)

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Bank capital, Financial crisis, Rating, Securitization

27.

A Simple Econometric Approach for Modeling Stress Event Intensities

Journal of Futures Markets, Vol. 35, No. 4, pp. 300-320, 2015
Number of pages: 29 Posted: 14 Nov 2015
Rainer Jobst, Daniel Roesch, Harald (Harry) Scheule and Martin Schmelzle
University of Regensburg, University of Regensburg, University of Technology Sydney (UTS) - School of Finance and Economics and University of Regensburg
Downloads 42 (411,812)

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stress event intensity, systemic risk, credit derivative

28.

Credit Rating Impact on CDO Evaluation

Global Finance Journal, Vol. 19, No. 3, 2009, pp. 235-251
Number of pages: 41 Posted: 10 Nov 2013
Daniel Roesch and Harald (Harry) Scheule
University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 33 (447,909)

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Business Cycle, Collateralized Debt Obligation, Correlation, Credit Risk, Default Probability, Point-in-Time, Portfolio, Through-the-Cycle

29.

Will Basel III Liquidity Measures Affect Banks' Funding Costs and Financial Performance?: Evidence from U.S. Commercial Banks

Number of pages: 46 Posted: 20 Aug 2015 Last Revised: 06 Mar 2018
Muhammad Saifuddin Khan, Harald (Harry) Scheule and Eliza Wu
University of Technology Sydney (UTS) - School of Finance and Economics, University of Technology Sydney (UTS) - School of Finance and Economics and The University of Sydney - Business School
Downloads 28 (471,410)

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Liquidity, bank funding costs, capital, Basel III

30.

Asset Portfolio Securitizations and Cyclicality of Regulatory Capital

European Journal of Operational Research, 237, 2014, 289-302
Number of pages: 33 Posted: 18 Nov 2015
Kristina Lützenkirchen, Daniel Roesch and Harald (Harry) Scheule
Leibniz University of Hannover, University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 22 (503,939)

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Asset-backed security, Economic downturn, Impairment, Regulation, Regulatory capital, Mortgage-backed security

31.

Forecasting Credit Portfolio Risk

Bundesbank Series 2 Discussion Paper No. 2004,01
Number of pages: 44 Posted: 08 Jun 2016
Alfred Hamerle, Thilo Liebig and Harald (Harry) Scheule
University of Regensburg - Faculty of Business, Economics & Information Systems, Deutsche Bundesbank and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 15 (544,400)
Citation 10

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asset correlation, bank regulation, Basel II, credit risk, default correlation, default probability, logit model, probit model

32.

The Role of Loan Portfolio Losses and Bank Capital for Asian Financial System Resilience

HKIMR Working Paper No. 9/2018
Number of pages: 44 Posted: 31 Mar 2018
Daniel Roesch and Harald (Harry) Scheule
University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 9

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Asia, Bank Capital, Bank Lending, Commercial Banks, Credit Portfolio Risk, Systemic Risk

33.

Downturn Credit Portfolio Risk, Regulatory Capital and Prudential Incentives

International Review of Finance, Vol. 10, Issue 2, pp. 185-207, June 2010
Number of pages: 23 Posted: 04 Jun 2010
Daniel Roesch and Harald (Harry) Scheule
University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 5 (606,495)
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34.

The Impact of Loan Loss Provisioning on Bank Capital Requirements

Journal of Financial Stability, Forthcoming
Posted: 28 Feb 2018
Steffen Krueger, Daniel Roesch and Harald (Harry) Scheule
Independent, University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics

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GAAP 326, IFRS 9, lifetime expected loss, loan loss provisioning, regulatory capital

35.

Accuracy of Mortgage Portfolio Risk Forecasts During Financial Crises

European Journal of Operational Research 249 (2016), 440-456
Posted: 28 Feb 2018
Yongwoong Lee, Daniel Roesch and Harald (Harry) Scheule
Department of International Finance, Hankuk University of Foreign Studies, University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics

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Bayesian estimation, Maximum likelihood estimation, Model risk, Mortgage Value-at-risk

36.

Systematic Credit Risk and Pricing for Fixed Income Instruments

Journal of Fixed Income, Vol. 26, No. 1, 2016
Posted: 28 Feb 2018
Daniel Roesch and Harald (Harry) Scheule
University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics

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Corporate Bond, Credit Risk, Financial Crisis, Fixed Income, Pricing, Rating, Securitization, Systematic Risk, Yield Spread

The Role of Model Risk in Extreme Value Theory for Capital Adequacy

Journal of Risk, Forthcoming
Number of pages: 32 Posted: 08 Jul 2016
Ralf Kellner, Daniel Roesch and Harald (Harry) Scheule
Saarland University, University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
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extreme value theory, model risk, capital requirements, value-at-risk, expected shortfall

The Role of Model Risk in Extreme Value Theory for Capital Adequacy

Journal of Risk 18(6), 2016, 39-70
Posted: 28 Feb 2018
Ralf Kellner, Daniel Roesch and Harald (Harry) Scheule
Saarland University, University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics

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Extreme Value Theory, Model Risk, Capital Requirements, Value-at-Risk, Expected Shortfall

38.

Forecasting Mortgage Securitization Risk Under Systematic Risk and Parameter Uncertainty

Journal of Risk and Insurance, Vol. 81, Issue 3, pp. 563-586, 2014
Number of pages: 24 Posted: 20 Aug 2014
Daniel Roesch and Harald (Harry) Scheule
University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 0 (661,936)
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