Harald Scheule : Citation Profile


Are you Harald Scheule?

University of Technology Sydney

9

H index

8

i10 index

245

Citations

RESEARCH PRODUCTION:

23

Articles

16

Papers

1

Chapters

RESEARCH ACTIVITY:

   18 years (2002 - 2020). See details.
   Cites by year: 13
   Journals where Harald Scheule has often published
   Relations with other researchers
   Recent citing documents: 40.    Total self citations: 13 (5.04 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psc592
   Updated: 2020-09-14    RAS profile: 2020-08-09    
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Relations with other researchers


Works with:

Wu, Eliza (3)

Do, Hung (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)

Pliszka, Kamil (4)

Witzany, Jiří (4)

Fabozzi, Frank (3)

Koziol, Philipp (3)

Martin, Antoine (3)

Fungáčová, Zuzana (3)

Huang, Yiping (3)

Schmieder, Christian (3)

Craig, Ben (2)

Cites to:

Gordy, Michael (25)

merton, robert (18)

Longstaff, Francis (12)

Duffie, Darrell (12)

Acharya, Viral (11)

Leland, Hayne (10)

Campbell, John (10)

Shapiro, Joel (8)

Benmelech, Efraim (8)

Singleton, Kenneth (8)

Dietsch, Michel (7)

Main data


Where Harald Scheule has published?


Journals with more than one article published# docs
Journal of Banking & Finance3
European Journal of Operational Research3
International Review of Finance2
Journal of Futures Markets2
Journal of Financial Stability2
Pacific-Basin Finance Journal2

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 (2020 and 2019)


YearTitle of citing document
2019Four-factor model of Quanto CDS with jumps-at-default and stochastic recovery. (2019). Soleymani, Fazlollah ; Itkin, Andrey. In: Papers. RePEc:arx:papers:1912.08713.

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2019Risk Management, Capital Adequacy and Audit Quality for Financial Stability: Assessment from Commercial Banks of Pakistan. (2019). Bin, Shamsul Bahrain ; Omran, Abdelnaser ; Kamran, Hafiz Waqas. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2019:p:654-664.

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2020Measuring the procyclicality of impairment accounting regimes: a comparison between IFRS 9 and US GAAP. (2020). Buesa, Alejandro ; Tarancon, Javier ; Poblacion, Francisco Javier. In: Working Papers. RePEc:bde:wpaper:2003.

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2020The Role of Bank Funding Diversity: Evidence from Vietnam. (2020). Vo, Xuan Vinh. In: International Review of Finance. RePEc:bla:irvfin:v:20:y:2020:i:2:p:529-536.

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2019Subordinate Resolution ‐‐ An Empirical Analysis of European Union Subsidiary Banks. (2019). Cotter, John ; Conlon, Thomas. In: Journal of Common Market Studies. RePEc:bla:jcmkts:v:57:y:2019:i:4:p:857-876.

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2020Estimating the probability of default for no‐default and low‐default portfolios. (2020). Blumke, Oliver. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:69:y:2020:i:1:p:89-107.

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2019Do Negative Interest Rates Affect Bank Risk-Taking?. (2019). Reghezza, Alessio ; Santamaria, Riccardo ; Bongiovanni, Alessio ; Williams, Jonathan. In: Working Papers. RePEc:bng:wpaper:19012.

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2020Capital and liquidity interaction in banking. (2019). Arnould, Guillaume ; Milonas, Kristoffer ; Acosta-Smith, Jonathan ; Vo, Quynh-Anh. In: Bank of England working papers. RePEc:boe:boeewp:0840.

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2019What does peer-to-peer lending evidence say about the risk-taking channel of monetary policy?. (2019). Wang, Chu ; Li, Xiang ; Huang, Yiping. In: BOFIT Discussion Papers. RePEc:bof:bofitp:2019_016.

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2019What Does Peer-To-Peer Lending Evidence Say about the Risk-Taking Channel of Monetary Policy?. (2019). Wang, Chu ; Li, Xiang ; Huang, Yiping. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7792.

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2019The Impact of Expectations on IFRS 9 Loan Loss Provisions. (2019). Panos, Jiri ; Polak, Petr. In: Research and Policy Notes. RePEc:cnb:rpnrpn:2019/03.

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2019Banks Credit Losses and Provisioning over the Business Cycle: Implications for IFRS 9. (2019). Malovana, Simona ; Tesarova, Zaneta. In: Working Papers. RePEc:cnb:wpaper:2019/4.

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2019Measuring the procyclicality of impairment accounting regimes: a comparison between IFRS 9 and US GAAP. (2019). Buesa, Alejandro ; Tarancon, Javier ; Poblacion, Francisco Javier. In: Working Paper Series. RePEc:ecb:ecbwps:20192347.

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2019The cost of being safer in banking: Market power loss. (2019). Vo, Hong ; Le, Minh ; Cai, Khoa. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:62:y:2019:i:c:p:116-130.

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2020Bankruptcy regime and the banking system. (2020). Dimelis, Sophia ; Stef, Nicolae. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:480-495.

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2019Basel III liquidity rules: The implications for bank lending growth in Africa. (2019). Adesina, Kolade Sunday. In: Economic Systems. RePEc:eee:ecosys:v:43:y:2019:i:2:6.

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2019A Bayesian approach to modeling mortgage default and prepayment. (2019). Soyer, Refik ; Wilson, Simon P ; Bhattacharya, Arnab. In: European Journal of Operational Research. RePEc:eee:ejores:v:274:y:2019:i:3:p:1112-1124.

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2019Modeling diversification and spillovers of loan portfolios losses by LHP approximation and copula. (2019). Yang, Kisung ; Lee, Yongwoong . In: International Review of Financial Analysis. RePEc:eee:finana:v:66:y:2019:i:c:s1057521919300894.

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2019Factors influencing the European bank’s probability of default: An application of SYMBOL methodology. (2019). Partal-Urea, Antonio ; Gomez-Fernandez, Pilar ; Parrado-Martinez, Purificacion. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:61:y:2019:i:c:p:223-240.

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2019What are the real effects of financial market liquidity? Evidence on bank lending from the euro area. (2019). Pliszka, Kamil ; Foos, Daniel ; Dombret, Andreas R ; Schulz, Alexander. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:62:y:2019:i:c:p:152-183.

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2019Hedging parameter risk. (2019). Schmelzle, Martin ; Rosch, Daniel ; Claussen, Arndt . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:100:y:2019:i:c:p:111-121.

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2019Drivers of solvency risk – Are microfinance institutions different?. (2019). Winkler, Adalbert ; Schulte, Markus . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:106:y:2019:i:c:p:403-426.

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2019Stock market daily volatility and information measures of predictability. (2019). Prattico, Flavio ; Petroni, Filippo ; Gismondi, Fulvio ; Damico, Guglielmo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:518:y:2019:i:c:p:22-29.

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2019Measuring multi-product banks market power using the Lerner index. (2019). Spierdijk, Laura ; Shaffer, Sherrill. In: CAMA Working Papers. RePEc:een:camaaa:2019-17.

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2019Should Vietnamese Banks Need More Equity? Evidence on Risk-Return Trade-Off in Dynamic Models of Banking. (2019). Dang, Van Dan. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:84-:d:230540.

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2019Liquidity Risk Drivers and Bank Business Models. (2019). Mazzu, Sebastiano ; Galletta, Simona. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:3:p:89-:d:260870.

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2020A Comprehensive Stability Indicator for Banks. (2020). Vo, Duc ; Powell, Robert J. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:1:p:13-:d:315737.

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2019Testing for the underlying dynamics of bank capital buffer and performance nexus. (2019). mamatzakis, emmanuel ; Bagntasarian, Anachit. In: Post-Print. RePEc:hal:journl:hal-02127592.

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2020Unexpected deposit flows, off-balance sheet funding liquidity risk and bank loan production. (2020). TARAZI, Amine ; Diabate, Alassane ; Barry, Thierno. In: Working Papers. RePEc:hal:wpaper:hal-02516724.

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2019Managing risks and system performance in supply network: a conceptual framework. (2019). Hara, Yoshinori ; Quang, Huy Truong. In: International Journal of Logistics Systems and Management. RePEc:ids:ijlsma:v:32:y:2019:i:2:p:245-271.

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2019Exploring Liquidity Risk and Interest-Rate Risk: Implications for Profitability and Firm Value in Nigerian Banks. (2019). Sobhani, Farid Ahammad ; Yusoff, Wan Sallha ; Islam, Md Aminul ; Ebenezer, Olalere Oluwaseyi. In: Journal of Reviews on Global Economics. RePEc:lif:jrgelg:v:8:y:2019:p:315-326.

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2019The golden rule of banking: funding cost risks of bank business models. (2019). Scholz, Peter ; Grossmann, David. In: Journal of Banking Regulation. RePEc:pal:jbkreg:v:20:y:2019:i:2:d:10.1057_s41261-018-0080-5.

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2019The nexus between underlying dynamics of bank capital buffer and performance.. (2019). mamatzakis, emmanuel ; Bagntasarian, Anna. In: MPRA Paper. RePEc:pra:mprapa:92961.

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2019Modelling Asset Correlations of Revolving Loan Defaults in South Africa. (2019). Muteba Mwamba, John Weirstrasd ; Mhlophe, Bongani. In: MPRA Paper. RePEc:pra:mprapa:97340.

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2020The Determinants of Mortgage Defaults in Australia – Evidence for the Double-trigger Hypothesis. (2020). Bergmann, Michelle. In: RBA Research Discussion Papers. RePEc:rba:rbardp:rdp2020-03.

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2019Comparison of Country Ratings of Credit Rating Agencies with MOORA Method. (2019). Basar, Ozlem Deniz ; Genc, Elif Guneren. In: Business and Economics Research Journal. RePEc:ris:buecrj:0397.

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2019Dependence of Default Probability and Recovery Rate in Structural Credit Risk Models: Case of Greek Banks. (2019). Jamel, Lamia ; Derbali, Abdelkader. In: Journal of the Knowledge Economy. RePEc:spr:jknowl:v:10:y:2019:i:2:d:10.1007_s13132-017-0473-1.

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2019The cyclicality in SICR: mortgage modelling under IFRS 9. (2019). McCann, Fergal ; Gaffney, Edward. In: ESRB Working Paper Series. RePEc:srk:srkwps:201992.

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2019Multi-tranche securitisation structures: more than just a zero-sum game?. (2019). Ibañez, Francisco ; Ibaez-Hernandez, Francisco J ; Rodriguez-Castellanos, Arturo ; Pea-Cerezo, Miguel A. In: The European Journal of Finance. RePEc:taf:eurjfi:v:25:y:2019:i:2:p:167-189.

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2019What does peer-to-peer lending evidence say about the risk-taking channel of monetary policy?. (2019). Wang, Chu ; Li, Xiang ; Huang, Yiping. In: IWH Discussion Papers. RePEc:zbw:iwhdps:142019.

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Works by Harald Scheule:


YearTitleTypeCited
2011Securitization rating performance and agency incentives In: BIS Papers chapters.
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chapter0
2011Securitization Rating Performance and Agency Incentives.(2011) In: Working Papers.
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paper
2011Default and Recovery Risk Dependencies in a Simple Credit Risk Model In: European Financial Management.
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article16
2010Downturn Credit Portfolio Risk, Regulatory Capital and Prudential Incentives* In: International Review of Finance.
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article2
2010Downturn Credit Portfolio Risk, Regulatory Capital and Prudential Incentives.(2010) In: Published Paper Series.
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paper
2010Downturn Credit Portfolio Risk, Regulatory Capital and Prudential Incentives-super- In: International Review of Finance.
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article8
2011ARE WATCH PROCEDURES A CRITICAL INFORMATIONAL EVENT IN THE CREDIT RATINGS PROCESS? AN EMPIRICAL INVESTIGATION In: Journal of Financial Research.
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article6
2014Forecasting Mortgage Securitization Risk Under Systematic Risk and Parameter Uncertainty In: Journal of Risk & Insurance.
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article2
2014Asset portfolio securitizations and cyclicality of regulatory capital In: European Journal of Operational Research.
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article3
2016Accuracy of mortgage portfolio risk forecasts during financial crises In: European Journal of Operational Research.
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article2
2018Predicting loss severities for residential mortgage loans: A three-step selection approach In: European Journal of Operational Research.
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article0
2018A copula sample selection model for predicting multi-year LGDs and Lifetime Expected Losses In: Journal of Empirical Finance.
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article0
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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article10
2009Credit rating impact on CDO evaluation In: Global Finance Journal.
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article0
2012Capital incentives and adequacy for securitizations In: Journal of Banking & Finance.
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article9
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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article32
2016The role of loan portfolio losses and bank capital for Asian financial system resilience In: Pacific-Basin Finance Journal.
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article8
2020The impact of government guarantees on banks wholesale funding costs and lending behavior: Evidence from a natural experiment In: Pacific-Basin Finance Journal.
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article0
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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paper0
2020Liquidity Constraints, Home Equity and Residential Mortgage Losses In: The Journal of Real Estate Finance and Economics.
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article1
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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article13
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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article2
2002Modelling Default Rate Dynamics in the CreditRisk+ Framework In: Published Paper Series.
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paper1
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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paper5
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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paper13
2007Multi-Year Dynamics for Forecasting Economic and Regulatory Capital in Banking In: Published Paper Series.
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paper4
2008Downturn LGD for Hong Kong mortgage loan portfolios In: Published Paper Series.
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paper0
2009Credit Portfolio Loss Forecasts for Economic Downturns In: Published Paper Series.
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2011Empirical performance of loss given default prediction models In: Published Paper Series.
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paper1
2013Dynamic Implied Correlation Modeling and Forecasting in Structured Finance In: Journal of Futures Markets.
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article0
2015A Simple Econometric Approach for Modeling Stress Event Intensities In: Journal of Futures Markets.
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article1
2004Forecasting Credit Portfolio Risk In: Discussion Paper Series 2: Banking and Financial Studies.
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CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 2 2020. Contact: CitEc Team