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Jump to: 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003 | 2002 | 2001 | 2000
Number of items: 56.

2019

Do, Hung, Scheule, Harald and Rösch, Daniel (2019) Liquidity constraints, home equity and residential mortgage losses. Journal of Real Estate Finance and Economics. (In Press) Fulltext not available.

2018

Krüger, Steffen , Oehme, Toni, Rösch, 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. Fulltext not available.

Do, Hung, Rösch, 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. Fulltext not available.

Krüger, Steffen , Rösch, Daniel and Scheule, Harald (2018) The Impact of Loan Loss Provisioning on Bank Capital Requirements. Journal of Financial Stability 36, pp. 114-129. Fulltext not available.

2017

Scheule, Harald, Rösch, Daniel and Baesens, Bart (2017) Credit Risk Analytics: The R Companion. Create Space Independent Publishing Platform. ISBN 978-1977760869. Fulltext not available.

2016

Scheule, Harald, Baesens, Bart and Rösch, Daniel (2016) Credit Risk Analytics: Measurement Techniques, Applications, and Examples in SAS. John Wiley & Sons, New York, N.Y.. ISBN 978-1-119-14398-7. Fulltext not available.

Rösch, Daniel, Scheule, Harald and Lee, Yongwoong (2016) Accuracy of Mortgage Portfolio Risk Forecasts during Financial Crises. European Journal of Operational Research 249, pp. 440-456. Fulltext not available.

Rösch, Daniel and Scheule, Harald (2016) Systematic Credit Risk and Pricing for Fixed Income Instruments. Journal of Fixed Income 26, pp. 42-60. Fulltext not available.

Rösch, Daniel and Scheule, Harald (2016) The Role of Loan Portfolio Losses and Bank Capital for Asian Financial System Resilience. Pacific-Basin Finance Journal 40 B, pp. 289-305. Fulltext not available.

Scheule, Harald, Kellner, Ralf and Rösch, Daniel (2016) The role of model risk in extreme value theory for capital adequacy. Journal of Risk 18 (6), pp. 39-70. Fulltext not available.

Claussen, Arndt, Löhr, Sebastian, Rösch, Daniel and Scheule, Harald (2016) Valuation of Systematic Risk in the Cross-Section of Credit Default Swap Spreads. Quarterly Review of Economics and Finance 64, pp. 183-195. Fulltext not available.

2015

Jobst, Rainer, Rösch, Daniel, Scheule, Harald and Schmelzle, Martin (2015) A Simple Econometric Approach for Modeling Stress Event Intensities. Journal of Futures Markets 35 (4), pp. 300-320. Fulltext not available.

2014

Lützenkirchen, Kristina, Rösch, Daniel and Scheule, Harald (2014) Asset portfolio securitizations and cyclicality of regulatory capital. European Journal of Operational Research 237 (1), pp. 289-302. Fulltext not available.

Rösch, Daniel and Scheule, Harald (2014) Forecasting Probabilities of Default and Loss Rates Given Default in the Presence of Selection. Journal of the Operational Research Society 65 (3), pp. 393-407. Fulltext not available.

2013

Rösch, Daniel and Scheule, Harald (2013) Credit Securitisations and Derivatives - Challenges for the Global Markets. John Wiley & Sons, Chichester. ISBN 978-1-11-996396-7. Fulltext not available.

Rösch, Daniel and Scheule, Harald, eds. (2013) Credit Securitisations and Derivatives: Challenges for the Global Markets. Finance Series. Wiley, Chichester. ISBN 978-111-996-396-7 (print), 978-111-996-604-3 (online). Fulltext not available.

Löhr, Sebastian, Mursajew, Olga, Rösch, Daniel and Scheule, Harald (2013) Dynamic Correlation Modeling and Spread Forecasting in Structured Finance. Journal of Futures Markets 33 (11), pp. 994-1023. Fulltext not available.

Rösch, Daniel and Scheule, Harald (2013) Forecasting Mortgage Securitization Risk under Systematic Risk and Parameter Uncertainty. Journal of Risk and Insurance 81 (3), pp. 563-586. Fulltext not available.

Lützenkirchen, Kristina, Rösch, Daniel and Scheule, Harald (2013) Ratings Based Capital Adequacy for Securitizations. Journal of Banking and Finance 37 (12), pp. 5236-5247. Fulltext not available.

Bodenstedt, Matthias, Rösch, Daniel and Scheule, Harald (2013) The Path to Impairment: Do Credit Rating Agencies Anticipate Default Events of Structured Finance Transactions? European Journal of Finance 19 (9), pp. 841-860. Fulltext not available.

2012

Rösch, Daniel and Scheule, Harald (2012) Capital Incentives and Adequacy for Securitizations. Journal of Banking and Finance 36 (3), pp. 733-748. Fulltext not available.

2011

Claussen, Arndt, Löhr, Sebastian, Lützenkirchen, Kristina, Rösch, Daniel and Scheule, Harald (2011) Credit Ratings und Kapital für Verbriefungstransaktionen. Risikomanager 9, pp. 20-21. Fulltext not available.

Bade, Benjamin, Rösch, Daniel and Scheule, Harald (2011) Default and Recovery Dependencies in a Simple Credit Risk Model. European Financial Management 17 (1), pp. 120-144. Fulltext not available.

Bade, Benjamin, Rösch, Daniel and Scheule, Harald (2011) Empirical Performance of Loss Given Default Prediction Models. Journal of Risk Model Validation 5 (2), pp. 25-44. Fulltext not available.

Rösch, Daniel and Scheule, Harald (2011) Securitization Rating Performance and Agency Incentives. BIS Working Paper Series 58, Working Paper. Fulltext not available.

2010

Rösch, Daniel and Scheule, Harald (2010) Downturn Credit Portfolio Risk, Regulatory Capital and Prudential Incentives. International Review of Finance 10 (2), pp. 185-207. Fulltext not available.

Rösch, Daniel and Scheule, Harald (2010) Downturn Model Risk - Another View on the Global Financial Crisis. In: Rösch, Daniel and Scheule, Harald, (eds.) Model Risk – Identification, Measurement and Management. Risk Books, London. ISBN 1906348251, 9781906348250. Fulltext not available.

Rösch, Daniel and Scheule, Harald (2010) Foreword. In: Breeden, Joseph, (ed.) Reinventing Retail Lending Analytics. Risk Books, London. ISBN 1906348383, 9781906348380. Fulltext not available.

Rösch, Daniel and Scheule, Harald (2010) Model Risk – Identification, Measurement and Management. Risk Books, London. ISBN 1906348251, 9781906348250. Fulltext not available.

Donhauser, Martin, Hamerle, Alfred and Plank, Kilian (2010) Quantifying Systematic Risk in a Portfolio of Collateralised Debt Obligations. In: Rösch, Daniel and Scheule, Harald, (eds.) Model Risk: Identification, Measurement and Management. Risk Books, London, pp. 457-488. ISBN 978-1-906348-25-0. Fulltext not available.

2009

Rösch, Daniel and Scheule, Harald (2009) Credit Portfolio Loss Forecasts for Economic Downturns. Financial Markets, Institutions and Instruments 18 (1), pp. 1-26. Fulltext not available.

Rösch, Daniel and Scheule, Harald (2009) Downturn LGD for Hong Kong Mortgage Loan Portfolios. Journal of Risk Model Validation 2 (4), pp. 3-11. Fulltext not available.

Rösch, Daniel and Scheule, Harald (2009) Special Issue on Stress-testing. Fulltext not available.

2008

Rösch, Daniel and Scheule, Harald (2008) Credit Losses in Economic Downturns - Empirical Evidence for Hong Kong Mortgage Loans. Working Papers from Hong Kong Institute for Monetary Research 15, Working Paper. Fulltext not available.

Rösch, Daniel and Scheule, Harald (2008) Credit Rating Impact on CDO Evaluation. Global Finance Journal 19 (3), pp. 235-251. Fulltext not available.

Rösch, Daniel and Scheule, Harald (2008) Integrating Stress-Testing Frameworks. In: Rösch, Daniel and Scheule, Harald, (eds.) Stress-testing for Financial Institutions - Applications, Regulations, and Techniques. Risk Books, pp. 3-16. ISBN 978-1-906348-11-3 ; 1-906348-11-1. Fulltext not available.

Hamerle, Alfred, Jobst, Rainer, Knapp, Michael and Lerner, Matthias (2008) Stress-Testing Credit Value-at-Risk: a Multiyear Approach. In: Rösch, Daniel and Scheule, Harald, (eds.) Stress Testing for Financial Institutions: Applications, Regulations and Techniques. Riskbooks, London, pp. 67-91. ISBN 978-1-906348-11-3. Fulltext not available.

Rösch, Daniel and Scheule, Harald (2008) Stress-testing for Financial Institutions - Applications, Regulations and Techniques. Risk Books, London. ISBN 978-1-906348-11-3 ; 1-906348-11-1. Fulltext not available.

2007

Rösch, Daniel and Scheule, Harald (2007) Multiyear Dynamics for Forecasting Economic and Regulatory Capital in Banking. Journal of Credit Risk 3 (4), pp. 113-134. Fulltext not available.

Rösch, Daniel and Scheule, Harald (2007) Stress-Testing Credit Risk Parameters - An Application to Retail Loan Portfolios. Journal of Risk Model Validation 1 (1), pp. 55-75. Fulltext not available.

2006

Rösch, Daniel and Scheule, Harald (2006) A Multi-Factor Approach for Systematic Default and Recovery Risk. In: Engelmann, Bernd and Rauhmeier, Robert, (eds.) The Basel II Risk Parameters. Springer, Berlin, pp. 105-126. ISBN 3-540-33085-2; 978-3-540-33085-1. Fulltext not available.

Rösch, Daniel and Scheule, Harald (2006) Credit Rating Impact on CDO Evaluation. Working Paper. Fulltext not available.

Hamerle, Alfred, Liebig, Thilo and Scheule, Harald (2006) Forecasting Credit Event Frequency – Empirical Evidence for West German Firms. Journal of Risk 9 (1), pp. 75-98. Fulltext not available.

2005

Rösch, Daniel and Scheule, Harald (2005) A Multifactor Approach for Systematic Default and Recovery Risk. The Journal of Fixed Income 15 (2), pp. 63-75. Fulltext not available.

Rösch, Daniel and Scheule, Harald (2005) A Multi-Factor Approach for Systematic Default and Recovery Risk. Journal of Fixed Income 15 (2), pp. 63-75. Fulltext not available.

Rösch, Daniel and Scheule, Harald (2005) Modeling Systematic Consumer Credit Risk: Basel II and Reality. Credit Technology 53, pp. 35-42. Fulltext not available.

2004

Hamerle, Alfred, Liebig, Thilo and Scheule, Harald (2004) Forecasting Credit Portfolio Risk. Discussion paper / Deutsche Bundesbank: Series 2, Banking and financial studies 2004,1, Dt. Bundesbank, Frankfurt am Main.

Rösch, Daniel and Scheule, Harald (2004) Forecasting Retail Portfolio Credit Risk. Journal of Risk Finance 5 (2), pp. 16-32. Fulltext not available.

2003

Rösch, Daniel and Scheule, Harald (2003) Modeling Systematic Consumer Credit Risk: Basel II and Reality. Risk Management Association Journal, pp. 66-69. Fulltext not available.

Scheule, Harald (2003) Prognose von Kreditausfallrisiken. PhD, Universität Regensburg. Fulltext not available.

Scheule, Harald (2003) Prognose von Kreditausfallrisiken. Risikomanagement und Finanzcontrolling, 8. Uhlenbruch, Bad Soden/Ts.. ISBN 3-933207-41-X. Fulltext not available.

2002

Boegelein, Leif, Hamerle, Alfred, Rauhmeier, Robert and Scheule, Harald (2002) Parametrisierung von CreditRisk+ im Konjunkturzyklus: Dynamische Ausfallquoten und Sektorenanalyse. Deutsches Risk: currencies, interest rates, equities, commodities, credit 2 (2), pp. 37-42. Fulltext not available.

Boegelein, Leif, Hamerle, Alfred, Rauhmeier, Robert and Scheule, Harald (2002) Modelling Default Rate Dynamics in the CreditRisk+ Framework. Risk 15 (10). Fulltext not available.

Hamerle, Alfred, Liebig, Thilo and Scheule, Harald (2002) Dynamic Modeling of Credit Portfolio Risk with Time-Discrete Hazard Rates. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 369, Working Paper. Fulltext not available.

2001

Scheule, Harald (2001) Kreditbewertung im deutschen Steuersystem - eine Shareholder-Value-basierte Betrachtung. Zeitschrift für das gesamte Kreditwesen 54 (3), pp. 127-130. Fulltext not available.

2000

Scheule, Harald (2000) Kreditbewertung im deutschen Steuersystem -eine Shareholder-Value-basierte Betrachtung-. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 347, Working Paper. Fulltext not available.

This list was generated on Mon Feb 24 15:37:59 2020 CET.
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