Harald Scheule : Citation Profile


Are you Harald Scheule?

University of Technology Sydney

7

H index

2

i10 index

163

Citations

RESEARCH PRODUCTION:

19

Articles

16

Papers

1

Chapters

RESEARCH ACTIVITY:

   16 years (2002 - 2018). See details.
   Cites by year: 10
   Journals where Harald Scheule has often published
   Relations with other researchers
   Recent citing documents: 36.    Total self citations: 12 (6.86 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psc592
   Updated: 2018-12-08    RAS profile: 2018-11-28    
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Relations with other researchers


Works with:

Wu, Eliza (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Harald Scheule.

Is cited by:

Jakubík, Petr (16)

Fecht, Falko (6)

Koziol, Philipp (3)

Schmieder, Christian (3)

Fungáčová, Zuzana (3)

Martin, Antoine (3)

Kelly, Robert (2)

Beck, Roland (2)

Piloiu, Anamaria (2)

Konecny, Tomas (2)

DIETSCH, Michel (2)

Cites to:

Gordy, Michael (23)

merton, robert (17)

Longstaff, Francis (12)

Duffie, Darrell (12)

Leland, Hayne (10)

Acharya, Viral (9)

Singleton, Kenneth (8)

Benmelech, Efraim (8)

Shapiro, Joel (8)

Campbell, John (7)

Dietsch, Michel (7)

Main data


Where Harald Scheule has published?


Journals with more than one article published# docs
European Journal of Operational Research3
Journal of Banking & Finance3
Journal of Futures Markets2
Journal of Financial Stability2

Working Papers Series with more than one paper published# docs
Published Paper Series / Finance Discipline Group, UTS Business School, University of Technology, Sydney11
Working Papers / Hong Kong Institute for Monetary Research3

Recent works citing Harald Scheule (2018 and 2017)


YearTitle of citing document
2017The Impact of Corporate Social Responsibility on Default Risk: Empirical evidence from US Firms. (2017). Ashraf, Dawood ; Obaid, Asifa ; Rizwan, Muhammad Suhail. In: Business & Economic Review. RePEc:bec:imsber:v:9:y:2017:i:3:p:36-70.

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2017The Effect of Business and Financial Market Cycles on Credit Ratings: Evidence from the Last Two Decades. (2017). Stolowy, Hervé ; Astolfi, Pierre ; Paugam, Luc ; Lobo, Gerald J. In: Abacus. RePEc:bla:abacus:v:53:y:2017:i:1:p:59-93.

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2017The Rising Systemic Importance of Chinese Banks: Should the World Be Concerned?. (2017). Avkiran, Necmi Kemal ; Mi, Lin. In: Australian Economic Review. RePEc:bla:ausecr:v:50:y:2017:i:4:p:427-440.

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2018The Impact of Uncertainty on Financial Institutions. (2018). Xu, Bing ; Caglayan, Mustafa ; Baum, Christopher. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:939.

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2018The Procyclicality of Expected Credit Loss Provisions. (2018). Abad, Jorge ; Suarez, Javier. In: Working Papers. RePEc:cmf:wpaper:wp2018_1806.

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2018The Procyclicality of Expected Credit Loss Provisions. (2018). Abad, Jorge ; Suarez, Javier. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13135.

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2017La correlazione tra PD ed LGD nell’analisi del rischio di credito/The correlation between probability of default and loss given default in the credit risk analysis. (2017). Varetto, Franco. In: IRCrES Working Paper. RePEc:csc:ircrwp:201714.

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2018Measuring the effect of watch-preceded and direct rating changes: a note on credit markets. (2018). Kiesel, F ; Kolaric, S. In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL). RePEc:dar:wpaper:87386.

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2017The effects of capital buffers on profitability: An empirical study. (2017). Tabak, Benjamin ; Fazio, Dimas ; Ely, Regis ; Cajueiro, Daniel. In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00820.

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2017Fuzzy decision fusion approach for loss-given-default modeling. (2017). Nazemi, Abdolreza ; Fabozzi, Frank J ; Heidenreich, Konstantin ; Pour, Farnoosh Fatemi . In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:2:p:780-791.

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2018Improving corporate bond recovery rate prediction using multi-factor support vector regressions. (2018). Nazemi, Abdolreza ; Fabozzi, Frank J ; Heidenreich, Konstantin. In: European Journal of Operational Research. RePEc:eee:ejores:v:271:y:2018:i:2:p:664-675.

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2018Systematic Effects among Loss Given Defaults and their Implications on Downturn Estimation. (2018). Betz, Jennifer ; Rosch, Daniel ; Kellner, Ralf . In: European Journal of Operational Research. RePEc:eee:ejores:v:271:y:2018:i:3:p:1113-1144.

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2017A new weighting-scheme for equity indexes. (2017). Chevallier, Julien ; Aboura, Sofiane. In: International Review of Financial Analysis. RePEc:eee:finana:v:54:y:2017:i:c:p:159-175.

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2017Bank market power, asset liquidity and funding liquidity: International evidence. (2017). Skully, Michael ; Nguyen, MY ; Perera, Shrimal . In: International Review of Financial Analysis. RePEc:eee:finana:v:54:y:2017:i:c:p:23-38.

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2017Is it obligor or instrument that explains recovery rate: Evidence from US corporate bond. (2017). Yao, Xiao ; Andreeva, Galina ; Crook, Jonathan. In: Journal of Financial Stability. RePEc:eee:finsta:v:28:y:2017:i:c:p:1-15.

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2017An analysis of the literature on systemic financial risk: A survey. (2017). Silva, Walmir ; Sobreiro, Vinicius Amorim ; Kimura, Herbert. In: Journal of Financial Stability. RePEc:eee:finsta:v:28:y:2017:i:c:p:91-114.

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2017Do country-level financial structures explain bank-level CDS spreads?. (2017). Sousa, Ricardo ; Mallick, Sushanta ; Benbouzid, Nadia. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:48:y:2017:i:c:p:135-145.

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2017An analysis of the consistency of banks’ internal ratings. (2017). Koziol, Philipp ; Berg, Tobias. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:78:y:2017:i:c:p:27-41.

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2017Downturn LGD modeling using quantile regression. (2017). Kruger, Steffen ; Rosch, Daniel . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:79:y:2017:i:c:p:42-56.

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2018Macroeconomic variable selection for creditor recovery rates. (2018). Nazemi, Abdolreza ; Fabozzi, Frank J. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:89:y:2018:i:c:p:14-25.

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2017Short-term safety or long-term failure? Empirical evidence of the impact of securitization on bank risk. (2017). Chen, Zhizhen ; Zhou, Mingming ; Opong, Kwaku ; Liu, Frank Hong. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:72:y:2017:i:c:p:48-74.

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2018Measuring systemic risk of the banking industry in China: A DCC-MIDAS-t approach. (2018). Xu, Qifa ; Yuan, Jing ; Jiang, Cuixia ; Chen, LU. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:51:y:2018:i:c:p:13-31.

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2018Effects of Macroprudential Policy on Systemic Risk and Bank Risk Taking. (2018). Andrieș, Alin Marius ; Nistor, Simona ; Melnic, Florentina. In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:68:y:2018:i:3:p:202-244.

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2018Risk Profile Indicators and Spanish Banks’ Probability of Default from a Regulatory Approach. (2018). Gomez-Fernandez, Pilar ; Partal-Urea, Antonio ; Parrado-Martinez, Purificacion . In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:4:p:1259-:d:142120.

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2017System dynamics modelling of retailers credit risk. (2017). Baradaran, Vahid ; Keshavarz, Maryam . In: International Journal of Industrial and Systems Engineering. RePEc:ids:ijisen:v:26:y:2017:i:3:p:380-396.

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2018Measuring the effect of watch-preceded and direct rating changes: a note on credit markets. (2018). Kiesel, Florian ; Kolaric, Sascha . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:50:y:2018:i:2:d:10.1007_s11156-017-0641-1.

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2018A macroeconomic reverse stress test. (2018). Grundke, Peter ; Pliszka, Kamil. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:50:y:2018:i:4:d:10.1007_s11156-017-0655-8.

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2017Trust Beneficiary Protection, Ownership Structure, and Risk Taking of Trust Corporations: Evidence from China. (2017). Li, Jinxian ; Liu, Xiaojian. In: Emerging Markets Finance and Trade. RePEc:mes:emfitr:v:53:y:2017:i:6:p:1318-1336.

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2018Empirical Evidence on the Effectiveness of Capital Buffer Release. (2018). Volk, Matjaž ; Chen, Yi-An ; Sivec, Vasja. In: MPRA Paper. RePEc:pra:mprapa:84323.

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2018The Influence of Income Diversification on Operating Stability of the Chinese Commercial Banking Industry. (2018). Wang, Chunyang ; Lin, Yongjia. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2018:i:3:p:29-41.

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2017ОЦЕНКА РИСКА ОСТАТОЧНОЙ СТОИМОСТИ СЕКЬЮРИТИЗИРОВАННОГО ПУЛА АКТИВОВ ОПЕРАТИВНОГО ЛИЗИНГА // A SECURITIZED POOL OF OPERAT. (2017). Petrova, E ; Е. Петрова А., . In: Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice. RePEc:scn:financ:y:2014:i:3:p:127-138.

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2017Macro economic cycle effect on mortgage and personal loan default rates. (2017). Strydom, Petrus . In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:7:y:2017:i:6:f:7_6_1.

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2018Do banks adjust their liquidity to cope with environmental variation? A study of bank deregulation. (2018). Fan, Yaoyao ; Ly, Kim Cuong ; Jiang, Showyi Yuxiang. In: Working Papers. RePEc:swn:wpaper:2018-31.

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2018Time for new financing instruments? A market-oriented framework to finance environmentally friendly practices in EU agriculture. (2018). Migliorelli, Marco ; Dessertine, Philippe. In: Journal of Sustainable Finance & Investment. RePEc:taf:jsustf:v:8:y:2018:i:1:p:1-25.

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2018On a quest for robustness: About model risk, randomness and discretion in credit risk stress tests. (2018). Siemsen, Thomas ; Vilsmeier, Johannes. In: Discussion Papers. RePEc:zbw:bubdps:312018.

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2018What are the real effects of financial market liquidity? Evidence on bank lending from the euro area. (2018). Dombret, Andreas R ; Schulz, Alexander ; Pliszka, Kamil ; Foos, Daniel. In: Discussion Papers. RePEc:zbw:bubdps:342018.

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Works by Harald Scheule:


YearTitleTypeCited
2011Securitization rating performance and agency incentives In: BIS Papers chapters.
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2011Securitization Rating Performance and Agency Incentives.(2011) In: Working Papers.
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paper
2010Downturn Credit Portfolio Risk, Regulatory Capital and Prudential Incentives-super- In: International Review of Finance.
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article7
2011ARE WATCH PROCEDURES A CRITICAL INFORMATIONAL EVENT IN THE CREDIT RATINGS PROCESS? AN EMPIRICAL INVESTIGATION In: Journal of Financial Research.
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article3
2014Forecasting Mortgage Securitization Risk Under Systematic Risk and Parameter Uncertainty In: Journal of Risk & Insurance.
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article1
2014Asset portfolio securitizations and cyclicality of regulatory capital In: European Journal of Operational Research.
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article1
2016Accuracy of mortgage portfolio risk forecasts during financial crises In: European Journal of Operational Research.
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article0
2018Predicting loss severities for residential mortgage loans: A three-step selection approach In: European Journal of Operational Research.
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2018A copula sample selection model for predicting multi-year LGDs and Lifetime Expected Losses In: Journal of Empirical Finance.
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2017The value of bank capital buffers in maintaining financial system resilience In: Journal of Financial Stability.
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article2
2018The impact of loan loss provisioning on bank capital requirements In: Journal of Financial Stability.
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article2
2009Credit rating impact on CDO evaluation In: Global Finance Journal.
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2012Capital incentives and adequacy for securitizations In: Journal of Banking & Finance.
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article7
2013Ratings based capital adequacy for securitizations In: Journal of Banking & Finance.
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article1
2017Funding liquidity and bank risk taking In: Journal of Banking & Finance.
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article9
2016The role of loan portfolio losses and bank capital for Asian financial system resilience In: Pacific-Basin Finance Journal.
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article3
2017Valuation of systematic risk in the cross-section of credit default swap spreads In: The Quarterly Review of Economics and Finance.
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2009The Empirical Relation between Credit Quality, Recovery and Correlation In: Hannover Economic Papers (HEP).
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2009The Empirical Relation between Credit Quality, Recovery, and Correlation.(2009) In: Working Papers.
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2008Credit Losses in Economic Downturns - Empirical Evidence for Hong Kong Mortgage Loans In: Working Papers.
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2014Forecasting probabilities of default and loss rates given default in the presence of selection In: Journal of the Operational Research Society.
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article8
2013The path to impairment: do credit-rating agencies anticipate default events of structured finance transactions? In: The European Journal of Finance.
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2002Modelling Default Rate Dynamics in the CreditRisk+ Framework In: Published Paper Series.
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2004Forecasting retail portfolio credit risk In: Published Paper Series.
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2005A multi-factor approach for systematic default and recovery risk In: Published Paper Series.
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2005Rating Properties and their Implication on Basel II-Capital In: Published Paper Series.
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2006Forecasting credit event frequency – empirical evidence for West German firms In: Published Paper Series.
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paper2
2007Stress-testing credit risk parameters: An application to retail loan portfolios In: Published Paper Series.
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2007Multi-Year Dynamics for Forecasting Economic and Regulatory Capital in Banking In: Published Paper Series.
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paper3
2008Downturn LGD for Hong Kong mortgage loan portfolios In: Published Paper Series.
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2009Credit Portfolio Loss Forecasts for Economic Downturns In: Published Paper Series.
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2010Downturn Credit Portfolio Risk, Regulatory Capital and Prudential Incentives In: Published Paper Series.
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2011Empirical performance of loss given default prediction models In: Published Paper Series.
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2013Dynamic Implied Correlation Modeling and Forecasting in Structured Finance In: Journal of Futures Markets.
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2015A Simple Econometric Approach for Modeling Stress Event Intensities In: Journal of Futures Markets.
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2004Forecasting Credit Portfolio Risk In: Discussion Paper Series 2: Banking and Financial Studies.
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