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Raffaella Calabrese

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This is information that was supplied by Raffaella Calabrese in registering through RePEc. If you are Raffaella Calabrese , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Raffaella
Middle Name:
Last Name: Calabrese
Suffix:

RePEc Short-ID: pca878

Email:
Homepage: http://www.sx.ac.uk/ebs/staff/profile.aspx?ID=3337
Postal Address: University of Essex Wivenhoe Park Colchester CO4 3SQ
Phone:

Affiliation

Essex Business School
University of Essex
Location: Colchester, United Kingdom
Homepage: http://www.essex.ac.uk/ebs/
Email:
Phone:
Fax: 020 76316416
Postal: Wivenhoe Park, Colchester C04 3SQ
Handle: RePEc:edi:daessuk (more details at EDIRC)

Works

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Working papers

  1. Raffaella Calabrese & Paolo Giudici, 2013. "Estimating bank default with generalised extreme value models," DEM Working Papers Series 035, University of Pavia, Department of Economics and Management.
  2. Raffaella Calabrese, 2012. "Modelling Downturn Loss Given Default," Working Papers, Geary Institute, University College Dublin 201226, Geary Institute, University College Dublin.
  3. Raffaella Calabrese, 2012. "Regression Model for Proportions with Probability Masses at Zero and One," Working Papers, Geary Institute, University College Dublin 201209, Geary Institute, University College Dublin.
  4. Raffaella Calabrese & Francesco Porro, 2012. "Single-name concentration risk in credit portfolios: a comparison of concentration indices," Working Papers, Geary Institute, University College Dublin 201214, Geary Institute, University College Dublin.
  5. Raffaella Calabrese, 2012. "Improving Classifier Performance Assessment of Credit Scoring Models," Working Papers, Geary Institute, University College Dublin 201204, Geary Institute, University College Dublin.
  6. Raffaella Calabrese & Johan A. Elkink, 2012. "Estimators of Binary Spatial Autoregressive Models: A Monte Carlo Study," Working Papers, Geary Institute, University College Dublin 201215, Geary Institute, University College Dublin.
  7. Raffaella Calabrese, 2012. "Estimating bank loans loss given default by generalized additive models," Working Papers, Geary Institute, University College Dublin 201224, Geary Institute, University College Dublin.
  8. Raffaella Calabrese, 2012. "Uniform correlation structure and convex stochastic ordering in the PÓlya urn scheme," Working Papers, Geary Institute, University College Dublin 201216, Geary Institute, University College Dublin.
  9. Raffaella Calabrese & Silvia Angela Osmetti, 2011. "Generalized Extreme Value Regression for Binary Rare Events Data: an Application to Credit Defaults," Working Papers, Geary Institute, University College Dublin 201120, Geary Institute, University College Dublin.
  10. Raffaella Calabrese, 2011. "Cost-sensitive classification for rare events: an application to the credit rating model validation for SMEs," Working Papers, Geary Institute, University College Dublin 201134, Geary Institute, University College Dublin.

Articles

  1. Raffaella Calabrese & Silvia Angela Osmetti, 2013. "Modelling small and medium enterprise loan defaults as rare events: the generalized extreme value regression model," Journal of Applied Statistics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 40(6), pages 1172-1188, June.
  2. Calabrese, Raffaella, 2013. "Uniform correlation structure and convex stochastic ordering in the Pólya urn scheme," Statistics & Probability Letters, Elsevier, Elsevier, vol. 83(1), pages 272-277.
  3. Calabrese, Raffaella & Zenga, Michele, 2010. "Bank loan recovery rates: Measuring and nonparametric density estimation," Journal of Banking & Finance, Elsevier, Elsevier, vol. 34(5), pages 903-911, May.

NEP Fields

8 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (5) 2011-09-22 2012-03-14 2012-05-29 2012-11-03 2013-03-16. Author is listed
  2. NEP-CBA: Central Banking (2) 2012-11-03 2013-03-16. Author is listed
  3. NEP-CMP: Computational Economics (1) 2012-03-14
  4. NEP-ECM: Econometrics (4) 2011-09-22 2012-03-21 2012-06-25 2012-11-03. Author is listed
  5. NEP-FOR: Forecasting (1) 2012-03-14
  6. NEP-MAC: Macroeconomics (1) 2012-11-03
  7. NEP-ORE: Operations Research (1) 2011-09-22
  8. NEP-RMG: Risk Management (6) 2011-09-22 2012-03-14 2012-03-21 2012-05-29 2012-11-03 2013-03-16. Author is listed
  9. NEP-URE: Urban & Real Estate Economics (1) 2012-06-25

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