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Harald Scheule

Conference paper

The impact of government guarantees on banks’ wholesale funding costs and risk taking: evidence from a natural experiment

This study compares the effect of the introduction and removal of the Australian Government Wholesale Funding Guarantee Scheme (WGS) on the funding costs and risk taking incentives of authorised deposit-taking institutions (ADIs).
Working paper

Liquidity constraints, home equity and residential mortgage losses

This paper analyses how borrower liquidity constraints and home equity relate to the realized loss given default (LGD) using the quarterly U.S. residential mortgage loan-level data observed from Q2 2005 to Q1 2015. We define defaulted loans with zero-LGD as cure loans and those with...
Working paper

The Value of Bank Capital Buffers in Maintaining Financial System Resilience

The Australian Financial System Inquiry (FSI) has identified ways to improve the efficiency and resilience of the Australian banking system. In particular, bank capital levels are expected to be unquestionably strong. However, limited empirical guidance on the size of such buffers exists. We analyse the...
Working paper

Role of loan portfolio losses and bank capital for Asian financial system resilience

This paper analyses the systemic risk in relation to bank lending for Asian economies. The methodology complements existing market-based systemic risk measures by providing measures based on accounting information that regulators typically collect. Loan loss provisions of banks are decomposed into (i) a prediction component...
Working paper

Decomposing the smile: systematic credit risk in mortgage Portfolios

This study analyzes systematic and non-systematic credit risk in mortgage portfolios given US loan-level information by controlling for time-varying observable information in relation to the borrower, the collateral and the macro economy. The total risk in relation to rating class default rates is decomposed into...