University of Technology Sydney
Harry (Harald) Scheule is Associate Professor of Finance at the University of Technology, Sydney and is a regional director of the Global Association of Risk Professionals. His expertise is in the area of Asset Pricing, Banking, Credit and Liquidity Risk, Home Equity Release, Insurance, Mortgages, Prudential Regulation, Real Estate Finance, Securities Evaluation and Structured Finance.
His award-winning research has been widely cited and published in leading journals. He currently serves on the editorial board of the Journal of Risk Model Validation. He is author and editor of five books on risk management.
Harry has worked with prudential regulators of financial institutions and undertaken consulting work for a wide range of financial institutions and service providers in Asia, Australia, Europe and North America. These institutions have applied his work to improve their risk management practices, comply with regulations and transfer financial risks.
This paper studies the impact of model risk on EVT methods when determining the value-at-risk and expected shortfall.