Zobrazeno 1 - 10
of 69
pro vyhledávání: '"Harald Scheule"'
Autor:
Harald Scheule, Chung Mai
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1c06fd8bf960c1d251151e17f03829ef
https://doi.org/10.2139/ssrn.4364277
https://doi.org/10.2139/ssrn.4364277
Autor:
Harald Scheule, Hung Xuan Do
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3a31570d8ed78f17c7289046fe6d028e
https://doi.org/10.2139/ssrn.4331268
https://doi.org/10.2139/ssrn.4331268
We analyze the impact of soft information on US mortgages for default prediction and provide a new measure for lender soft information that is based on the interest rates offered to borrowers and incremental to public hard information. Hard and soft
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f31f99e3152f4899c01c9455b4890435
https://hdl.handle.net/10453/166641
https://hdl.handle.net/10453/166641
Publikováno v:
The Journal of Real Estate Finance and Economics. 62:423-454
© 2020, This is a U.S. government work and not under copyright protection in the U.S.; foreign copyright protection may apply. Using a unique and comprehensive dataset of loan-level home equity lines of credit serviced by large US national banks, we
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c60868785f40d76bd72e3fc2eb0cf876
https://doi.org/10.1007/s11146-020-09752-x
https://doi.org/10.1007/s11146-020-09752-x
Publikováno v:
The Journal of Real Estate Finance and Economics. 61:208-246
This paper analyses how mortgage borrower liquidity constraints and home equity drive the realized loss rates given default using loan-level data. We define defaulted loans with zero loss as cures and those with non-zero loss as non-cures. We find ec
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e8fe9c62a60e1f692543cd8de7b3f40b
https://doi.org/10.1007/s11146-019-09709-9
https://doi.org/10.1007/s11146-019-09709-9
Autor:
Thi Mai Luong, Harald Scheule
Publikováno v:
SSRN Electronic Journal.
This paper explores alternative forecast approaches for mortgage credit risk for forward periods of up to seven years. Using data from US prime mortgage loans from 2000 to 2016, we find that common borrower, loan contract and external features are si
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::379cfb12e0f8597a7da42aeace58afef
https://doi.org/10.2139/ssrn.3924049
https://doi.org/10.2139/ssrn.3924049
Using U.S. bank holding company data, we study the impact of the crisis liquidity programs initiated by the U.S. Federal Reserve on bank-specific information production. We find empirical evidence that following the receipt of liquidity support there
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::64327d3c72f67140581f324c7aa62aa0
https://hdl.handle.net/10453/143689
https://hdl.handle.net/10453/143689
Autor:
Stephan Jortzik, Harald Scheule
Publikováno v:
The Journal of Risk Model Validation. 14
This paper provides a theoretical and empirical analysis of alternative discount rate concepts for computing loss given default (LGD) rates using historical bank workout data. It benchmarks five discount rate concepts for workout recovery cashflows i
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c036cc7eba166ef95b561ce715a56e1d
https://doi.org/10.21314/jrmv.2020.225
https://doi.org/10.21314/jrmv.2020.225
Autor:
Harald Scheule, Stephan Jortzik
Publikováno v:
SSRN Electronic Journal.
This paper provides a theoretical and empirical analysis of alternative discount rate concepts for computing LGDs using historical bank workout data. It benchmarks five discount rate concepts for workout recovery cash flows to derive observed Loss ra
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8d2dc87ebb97fc699b72a92d36d3f2d8
https://doi.org/10.2139/ssrn.3673120
https://doi.org/10.2139/ssrn.3673120
Publikováno v:
European Journal of Operational Research. 270:246-259
This paper develops a novel framework to model the loss given default (LGD) of residential mortgage loans which is the dominant consumer loan category for many commercial banks. LGDs in mortgage lending are subject to two selection processes: default
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d03aed006c688a62882276db655696ed
https://doi.org/10.1016/j.ejor.2018.02.057
https://doi.org/10.1016/j.ejor.2018.02.057