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Browsing byAuthorScheule, H
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Showing results 1 to 20 of 33
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Issue Date
Title
Author(s)
2022
Benchmarking forecast approaches for mortgage credit risk for forward periods
Luong, TM
;
Scheule, H
2021
Positive Payment Shocks, Liquidity and Refinance Constraints and Default Risk of Home Equity Lines of Credit at End of Draw
Qi, M
;
Scheule, H
;
Zhang, Y
2020-12
A cautionary tale of two extremes: The provision of government liquidity support in the banking sector
Bui, C
;
Scheule, H
;
Wu, E
2020-11
Systematic credit risk in securitised mortgage portfolios
Lee, Y
;
Rosch, D
;
Scheule, H
2020
Liquidity Constraints, Home Equity and Residential Mortgage Losses
Do, HX
;
Rösch, D
;
Scheule, H
2020
Benchmarking loss given default discount rates
Scheule, H
;
Jortzik, S
2018-10-01
Predicting loss severities for residential mortgage loans: A three-step selection approach
Do, HX
;
Rösch, D
;
Scheule, H
2018-06-01
The impact of loan loss provisioning on bank capital requirements
Krüger, S
;
Rösch, D
;
Scheule, H
2018-06-01
A copula sample selection model for predicting multi-year LGDs and Lifetime Expected Losses
Krüger, S
;
Oehme, T
;
Rösch, D
;
Scheule, H
2017-12-01
The value of bank capital buffers in maintaining financial system resilience
Bui, C
;
Scheule, H
;
Wu, E
2017-09-01
Funding liquidity and bank risk taking
Khan, MS
;
Scheule, H
;
Wu, E
2017-05-01
Valuation of systematic risk in the cross-section of credit default swap spreads
Claußen, A
;
Löhr, S
;
Rösch, D
;
Scheule, H
2016-08-01
The role of model risk in extreme value theory for capital adequacy
Kellner, R
;
Rösch, D
;
Scheule, H
2016-06-01
Systematic credit risk and pricing for fixed income instruments
Rösch, D
;
Scheule, H
2016-04-14
The path to impairment: Do credit-rating agencies anticipate default events of structured finance transactions?
Bodenstedt, M
;
Rösch, D
;
Scheule, H
2016-03-01
Accuracy of mortgage portfolio risk forecasts during financial crises
Lee, Y
;
Rösch, D
;
Scheule, H
2014-03-01
Forecasting probabilities of default and loss rates given default in the presence of selection
Rösch, D
;
Scheule, H
2014-01-01
Forecasting mortgage securitization risk under systematic risk and parameter uncertainty
Rösch, D
;
Scheule, H
2013-12-01
Ratings based capital adequacy for securitizations
Lützenkirchen, K
;
Rösch, D
;
Scheule, H
2013-11-01
Dynamic implied correlation modeling and forecasting in structured finance
Löhr, S
;
Mursajew, O
;
Rösch, D
;
Scheule, H