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Details about Raffaella Calabrese

E-mail:
Homepage:http://www.sx.ac.uk/ebs/staff/profile.aspx?ID=3337
Postal address:University of Essex Wivenhoe Park Colchester CO4 3SQ
Workplace:Essex Business School, University of Essex, (more information at EDIRC)

Access statistics for papers by Raffaella Calabrese.

Last updated 2019-01-09. Update your information in the RePEc Author Service.

Short-id: pca878


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Working Papers

2014

  1. A comparative analysis of the UK and Italian small businesses using Generalised Extreme Value models
    Papers, arXiv.org Downloads
    See also Journal Article in European Journal of Operational Research (2016)
  2. Measuring Bank Contagion in Europe Using Binary Spatial Regression Models
    DEM Working Papers Series, University of Pavia, Department of Economics and Management Downloads
    See also Journal Article in Journal of the Operational Research Society (2017)
  3. Modelling cross-border systemic risk in the European banking sector: a copula approach
    Papers, arXiv.org Downloads View citations (2)

2013

  1. Estimating bank default with generalised extreme value models
    DEM Working Papers Series, University of Pavia, Department of Economics and Management Downloads View citations (4)

2012

  1. Estimating bank loans loss given default by generalized additive models
    Working Papers, Geary Institute, University College Dublin Downloads View citations (1)
  2. Estimators of Binary Spatial Autoregressive Models: A Monte Carlo Study
    Working Papers, Geary Institute, University College Dublin Downloads View citations (6)
    See also Journal Article in Journal of Regional Science (2014)
  3. Improving Classifier Performance Assessment of Credit Scoring Models
    Working Papers, Geary Institute, University College Dublin Downloads
  4. Modelling Downturn Loss Given Default
    Working Papers, Geary Institute, University College Dublin Downloads
  5. Regression Model for Proportions with Probability Masses at Zero and One
    Working Papers, Geary Institute, University College Dublin Downloads View citations (2)
  6. Single-name concentration risk in credit portfolios: a comparison of concentration indices
    Working Papers, Geary Institute, University College Dublin Downloads View citations (1)
  7. Uniform correlation structure and convex stochastic ordering in the PÓlya urn scheme
    Working Papers, Geary Institute, University College Dublin Downloads
    See also Journal Article in Statistics & Probability Letters (2013)

2011

  1. Cost-sensitive classification for rare events: an application to the credit rating model validation for SMEs
    Working Papers, Geary Institute, University College Dublin Downloads
  2. Generalized Extreme Value Regression for Binary Rare Events Data: an Application to Credit Defaults
    Working Papers, Geary Institute, University College Dublin Downloads View citations (3)

Journal Articles

2019

  1. “Birds of a Feather” Fail Together: Exploring the Nature of Dependency in SME Defaults
    Risk Analysis, 2019, 39, (1), 71-84 Downloads

2017

  1. Interaction effects of region-level GDP per capita and age on labour market transition rates in Italy
    IZA Journal of Labor Economics, 2017, 6, (1), 1-29 Downloads
  2. Measuring bank contagion in Europe using binary spatial regression models
    Journal of the Operational Research Society, 2017, 68, (12), 1503-1511 Downloads View citations (1)
    See also Working Paper (2014)
  3. The effectiveness of TARP-CPP on the US banking industry: A new copula-based approach
    European Journal of Operational Research, 2017, 256, (3), 1029-1037 Downloads View citations (7)

2016

  1. A comparative analysis of the UK and Italian small businesses using Generalised Extreme Value models
    European Journal of Operational Research, 2016, 249, (2), 506-516 Downloads View citations (4)
    See also Working Paper (2014)
  2. Bankruptcy prediction of small and medium enterprises using a flexible binary generalized extreme value model
    Journal of the Operational Research Society, 2016, 67, (4), 604-615 Downloads View citations (5)

2015

  1. Estimating bank default with generalised extreme value regression models
    Journal of the Operational Research Society, 2015, 66, (11), 1783-1792 Downloads View citations (9)
  2. Improving Forecast of Binary Rare Events Data: A GAM‐Based Approach
    Journal of Forecasting, 2015, 34, (3), 230-239 Downloads View citations (2)

2014

  1. Downturn Loss Given Default: Mixture distribution estimation
    European Journal of Operational Research, 2014, 237, (1), 271-277 Downloads View citations (10)
  2. ESTIMATORS OF BINARY SPATIAL AUTOREGRESSIVE MODELS: A MONTE CARLO STUDY
    Journal of Regional Science, 2014, 54, (4), 664-687 Downloads View citations (9)
    See also Working Paper (2012)
  3. Optimal cut-off for rare events and unbalanced misclassification costs
    Journal of Applied Statistics, 2014, 41, (8), 1678-1693 Downloads View citations (1)
  4. Predicting bank loan recovery rates with a mixed continuous‐discrete model
    Applied Stochastic Models in Business and Industry, 2014, 30, (2), 99-114 Downloads View citations (10)

2013

  1. A probabilistic scheme with uniform correlation structure
    Statistics in Transition new series, 2013, 14, (1), 129-138 Downloads
  2. Modelling small and medium enterprise loan defaults as rare events: the generalized extreme value regression model
    Journal of Applied Statistics, 2013, 40, (6), 1172-1188 Downloads View citations (8)
  3. Uniform correlation structure and convex stochastic ordering in the Pólya urn scheme
    Statistics & Probability Letters, 2013, 83, (1), 272-277 Downloads
    See also Working Paper (2012)

2010

  1. Bank loan recovery rates: Measuring and nonparametric density estimation
    Journal of Banking & Finance, 2010, 34, (5), 903-911 Downloads View citations (46)

Chapters

2016

  1. Estimating Binary Spatial Autoregressive Models for Rare Events
    A chapter in Spatial Econometrics: Qualitative and Limited Dependent Variables, 2016, vol. 37, pp 145-166 Downloads View citations (2)
 
Page updated 2019-11-21