Items where Author is "Scheule, Harald"

Article

Lee, Yongwoong and Roesch, Daniel and Scheule, Harald (2021) Systematic credit risk in securitised mortgage portfolios. JOURNAL OF BANKING & FINANCE, 122: 105996. ISSN 0378-4266, 1872-6372

Do, Hung Xuan and Roesch, Daniel and Scheule, Harald (2020) Liquidity Constraints, Home Equity and Residential Mortgage Losses. JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS, 61 (2). pp. 208-246. ISSN 0895-5638, 1573-045X

Do, Hung Xuan and Rosch, Daniel and Scheule, Harald (2018) Predicting loss severities for residential mortgage loans: A three-step selection approach. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 270 (1). pp. 246-259. ISSN 0377-2217, 1872-6860

Krueger, Steffen and Oehme, Toni and Roesch, Daniel and Scheule, Harald (2018) A copula sample selection model for predicting multi-year LGDs and Lifetime Expected Losses. JOURNAL OF EMPIRICAL FINANCE, 47. pp. 246-262. ISSN 0927-5398, 1879-1727

Krueger, Steffen and Roesch, Daniel and Scheule, Harald (2018) The impact of loan loss provisioning on bank capital requirements. JOURNAL OF FINANCIAL STABILITY, 36. pp. 114-129. ISSN 1572-3089, 1878-0962

Lee, Yongwoong and Roesch, Daniel and Scheule, Harald (2016) Accuracy of mortgage portfolio risk forecasts during financial crises. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 249 (2). pp. 440-456. ISSN 0377-2217, 1872-6860

Roesch, Daniel and Scheule, Harald (2016) The role of loan portfolio losses and bank capital for Asian financial system resilience. PACIFIC-BASIN FINANCE JOURNAL, 40. pp. 289-305. ISSN 0927-538X, 1879-0585

Kellner, Ralf and Roesch, Daniel and Scheule, Harald (2016) The role of model risk in extreme value theory for capital adequacy. JOURNAL OF RISK, 18 (6). pp. 39-70. ISSN 1465-1211, 1755-2842

Jobst, Rainer and Roesch, Daniel and Scheule, Harald and Schmelzle, Martin (2015) A SIMPLE ECONOMETRIC APPROACH FOR MODELING STRESS EVENT INTENSITIES. JOURNAL OF FUTURES MARKETS, 35 (4). pp. 300-320. ISSN 0270-7314, 1096-9934

Luetzenkirchen, Kristina and Roesch, Daniel and Scheule, Harald (2014) Asset portfolio securitizations and cyclicality of regulatory capital. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 237 (1). pp. 289-302. ISSN 0377-2217, 1872-6860

Roesch, Daniel and Scheule, Harald (2014) FORECASTING MORTGAGE SECURITIZATION RISK UNDER SYSTEMATIC RISK AND PARAMETER UNCERTAINTY. JOURNAL OF RISK AND INSURANCE, 81 (3). pp. 563-586. ISSN 0022-4367, 1539-6975

Loehr, Sebastian and Mursajew, Olga and Roesch, Daniel and Scheule, Harald (2013) Dynamic Implied Correlation Modeling and Forecasting in Structured Finance. JOURNAL OF FUTURES MARKETS, 33 (11). pp. 994-1023. ISSN 0270-7314, 1096-9934