Narrow search
Showing 71 - 80 of 303
Cover Image
Forecasting Credit Portfolio Risk
Hamerle, Alfred; Liebig, Thilo; Scheule, Harald - 2004
The main challenge of forecasting credit default risk in loan portfolios is forecasting the default probabilities and the default correlations. We derive a Merton-style threshold-value model for the default probability which treats the asset value of a firm as unknown and uses a factor model...
Persistent link: https://www.econbiz.de/10010295888
Cover Image
Model risk : identification, measurement and management
Scheule, Harald (ed.) - 2010
Persistent link: https://www.econbiz.de/10003937889
Cover Image
Are watch procedures a critical informational event in the credit ratings process? : an empirical investigation
Chan, Howard Wei-hong; Faff, Robert W.; Hill, Paula; … - In: The journal of financial research 34 (2011) 4, pp. 617-640
Persistent link: https://www.econbiz.de/10009408833
Cover Image
Forecasting credit portfolio risk
Hamerle, Alfred (contributor); Liebig, Thilo (contributor);  … - 2004
Persistent link: https://www.econbiz.de/10002133168
Cover Image
Benchmarking forecast approaches for mortgage credit risk for forward periods
Luong, Thi Mai; Scheule, Harald - In: European journal of operational research : EJOR 299 (2022) 2, pp. 750-767
Persistent link: https://www.econbiz.de/10013207168
Cover Image
The impact of government guarantees on banks' wholesale funding costs and lending behavior : evidence from a natural experiment
Luong, Thi Mai; Pieters, Russell; Scheule, Harald; Wu, Eliza - In: Pacific-Basin finance journal 61 (2020), pp. 1-20
Persistent link: https://www.econbiz.de/10012494882
Cover Image
Positive payment shocks, liquidity and refinance constraints and default risk of home equity lines of credit at end of draw
Qi, Min; Scheule, Harald; Zhang, Yang - In: The journal of real estate finance and economics 62 (2021) 3, pp. 423-454
Persistent link: https://www.econbiz.de/10012495989
Cover Image
Funding liquidity and bank risk taking
Khan, Muhammad Saifuddin; Scheule, Harald; Wu, Eliza - In: Journal of banking & finance 82 (2017), pp. 203-216
Persistent link: https://www.econbiz.de/10011816803
Cover Image
The value of bank capital buffers in maintaining financial system resilience
Bui, Christina; Scheule, Harald; Wu, Eliza - In: Journal of financial stability 33 (2017), pp. 23-40
Persistent link: https://www.econbiz.de/10011877694
Cover Image
A cautionary tale of two extremes : the provision of government liquidity support in the banking sector
Bui, Christina; Scheule, Harald; Wu, Eliza - In: Journal of financial stability 51 (2020), pp. 1-22
Persistent link: https://www.econbiz.de/10012431762