Details about Raffaella Calabrese

Access statistics for papers by Raffaella Calabrese.

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Short-id: pca878

Working Papers

2014

1. A comparative analysis of the UK and Italian small businesses using Generalised Extreme Value models
   Papers, arXiv.org View citations (2)
   See also Journal Article A comparative analysis of the UK and Italian small businesses using Generalised Extreme Value models, European Journal of Operational Research, Elsevier (2016) View citations (12) (2016)
2. Measuring Bank Contagion in Europe Using Binary Spatial Regression Models
   DEM Working Papers Series, University of Pavia, Department of Economics and Management
   See also Journal Article Measuring bank contagion in Europe using binary spatial regression models, Journal of the Operational Research Society, Palgrave Macmillan (2017) View citations (9) (2017)
3. Modelling cross-border systemic risk in the European banking sector: a copula approach
   Papers, arXiv.org View citations (3)

2013

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

2012

5. Estimating bank loans loss given default by generalized additive models
   Working Papers, Geary Institute, University College Dublin View citations (3)
6. Estimators of Binary Spatial Autoregressive Models: A Monte Carlo Study
   Working Papers, Geary Institute, University College Dublin View citations (6)
   See also Journal Article ESTIMATORS OF BINARY SPATIAL AUTOREGRESSIVE MODELS: A MONTE CARLO STUDY, Journal of Regional Science, Wiley Blackwell (2014) View citations (22) (2014)
7. Improving Classifier Performance Assessment of Credit Scoring Models
   Working Papers, Geary Institute, University College Dublin
8. Modelling Downturn Loss Given Default
   Working Papers, Geary Institute, University College Dublin
9. Regression Model for Proportions with Probability Masses at Zero and One
   Working Papers, Geary Institute, University College Dublin View citations (3)
10. Single-name concentration risk in credit portfolios: a comparison of concentration indices
    Working Papers, Geary Institute, University College Dublin View citations (1)
11. Uniform correlation structure and convex stochastic ordering in the PÓlya urn scheme
    Working Papers, Geary Institute, University College Dublin
    See also Journal Article Uniform correlation structure and convex stochastic ordering in the Pólya urn scheme, Statistics & Probability Letters, Elsevier (2013) (2013)

2011

12. Cost-sensitive classification for rare events: an application to the credit rating model validation for SMEs
    Working Papers, Geary Institute, University College Dublin
13. Generalized Extreme Value Regression for Binary Rare Events Data: an Application to Credit Defaults
    Working Papers, Geary Institute, University College Dublin View citations (4)

Journal Articles

2021

1. What affects bank debt rejections? Bank lending conditions for UK SMEs
   The European Journal of Finance, 2021, 27, (6), 537-563 View citations (2)

2020

2. Spatial contagion in mortgage defaults: A spatial dynamic survival model with time and space varying coefficients
   European Journal of Operational Research, 2020, 287, (2), 749-761 View citations (12)

2019

3. A joint scoring model for peer‐to‐peer and traditional lending: a bivariate model with copula dependence
   Journal of the Royal Statistical Society Series A, 2019, 182, (4), 1163-1188 View citations (3)
4. A new approach to measure systemic risk: A bivariate copula model for dependent censored data
   European Journal of Operational Research, 2019, 279, (3), 1053-1064 View citations (10)
5. Mortgage default decisions in the presence of non-normal, spatially dependent disturbances
   Regional Science and Urban Economics, 2019, 76, (C), 103-114 View citations (1)
6. “Birds of a Feather” Fail Together: Exploring the Nature of Dependency in SME Defaults
   Risk Analysis, 2019, 39, (1), 71-84 View citations (9)

2017

7. 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 View citations (6)
8. Measuring bank contagion in Europe using binary spatial regression models
   Journal of the Operational Research Society, 2017, 68, (12), 1503-1511 View citations (9)
   See also Working Paper Measuring Bank Contagion in Europe Using Binary Spatial Regression Models, DEM Working Papers Series (2014) (2014)
9. 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 View citations (19)

2016

10. 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 View citations (12)
    See also Working Paper A comparative analysis of the UK and Italian small businesses using Generalised Extreme Value models, Papers (2014) View citations (2) (2014)
11. 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 View citations (21)

2015

12. Estimating bank default with generalised extreme value regression models
    Journal of the Operational Research Society, 2015, 66, (11), 1783-1792 View citations (27)
13. Improving Forecast of Binary Rare Events Data: A GAM‐Based Approach
    Journal of Forecasting, 2015, 34, (3), 230-239 View citations (4)

2014

14. Downturn Loss Given Default: Mixture distribution estimation
    European Journal of Operational Research, 2014, 237, (1), 271-277 View citations (21)
15. ESTIMATORS OF BINARY SPATIAL AUTOREGRESSIVE MODELS: A MONTE CARLO STUDY
    Journal of Regional Science, 2014, 54, (4), 664-687 View citations (22)
    See also Working Paper Estimators of Binary Spatial Autoregressive Models: A Monte Carlo Study, Working Papers (2012) View citations (6) (2012)
16. Optimal cut-off for rare events and unbalanced misclassification costs
    Journal of Applied Statistics, 2014, 41, (8), 1678-1693 View citations (1)
17. Predicting bank loan recovery rates with a mixed continuous‐discrete model
    Applied Stochastic Models in Business and Industry, 2014, 30, (2), 99-114 View citations (16)

2013

18. A probabilistic scheme with uniform correlation structure
    Statistics in Transition new series, 2013, 14, (1), 129-138
19. 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 View citations (18)
20. Uniform correlation structure and convex stochastic ordering in the Pólya urn scheme
    Statistics & Probability Letters, 2013, 83, (1), 272-277
    See also Working Paper Uniform correlation structure and convex stochastic ordering in the PÓlya urn scheme, Working Papers (2012) (2012)

2010

21. Bank loan recovery rates: Measuring and nonparametric density estimation
    Journal of Banking & Finance, 2010, 34, (5), 903-911 View citations (64)

Chapters

2017

1. Access to Bank Credit: The Role of Awareness of Government Initiatives for UK SMEs
   Palgrave Macmillan

2016

2. Estimating Binary Spatial Autoregressive Models for Rare Events
   A chapter in Spatial Econometrics: Qualitative and Limited Dependent Variables, 2016, vol. 37, pp 145-166 View citations (3)