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Michele Zenga

Personal Details

First Name:Michele
Middle Name:
Last Name:Zenga
Suffix:
RePEc Short-ID:pze87
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Affiliation

Dipartimento di Metodi Quantitativi per le Scienze Economiche e Aziendali
Scuola di Economia e Statistica
Università degli Studi di Milano-Bicocca

Milano, Italy
http://www.dimequant.unimib.it/

:


RePEc:edi:dqmibit (more details at EDIRC)

Research output

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Jump to: Articles

Articles

  1. Calabrese, Raffaella & Zenga, Michele, 2010. "Bank loan recovery rates: Measuring and nonparametric density estimation," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 903-911, May.
  2. Anna M. Fiori & Michele Zenga, 2009. "Karl Pearson and the Origin of Kurtosis," International Statistical Review, International Statistical Institute, vol. 77(1), pages 40-50, April.
  3. Paolo Radaelli & Michele Zenga, 2008. "Quantity quantiles linear regression," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 17(4), pages 455-469, October.
  4. Claudio Borroni & Michele Zenga, 2007. "A test of concordance based on Gini’s mean difference," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 16(3), pages 289-308, November.
  5. Anna Maria Fiori & Michele Zenga, 2005. "The meaning of kurtosis, the influence function and an early intuition by L. Faleschini," Statistica, Department of Statistics, University of Bologna, vol. 65(2), pages 135-144.
  6. Michele Zenga & Alessandro Zini, 2001. "A modification of the right tail for heavy-tailed income distributions," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3-4), pages 17-25.
  7. Michele Zenga, 2001. "A multiplicative decomposition of Herfindahl concentration measure," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(1-2), pages 3-10.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Articles

  1. Calabrese, Raffaella & Zenga, Michele, 2010. "Bank loan recovery rates: Measuring and nonparametric density estimation," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 903-911, May.

    Cited by:

    1. Nithi Sopitpongstorn & Param Silvapulle & Jiti Gao, 2017. "Local logit regression for recovery rate," Monash Econometrics and Business Statistics Working Papers 19/17, Monash University, Department of Econometrics and Business Statistics.
    2. Bastos, João A., 2010. "Forecasting bank loans loss-given-default," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2510-2517, October.
    3. Nazemi, Abdolreza & Fatemi Pour, Farnoosh & Heidenreich, Konstantin & Fabozzi, Frank J., 2017. "Fuzzy decision fusion approach for loss-given-default modeling," European Journal of Operational Research, Elsevier, vol. 262(2), pages 780-791.
    4. Antonio Punzo & Alessandro Zini, 2012. "Discrete approximations of continuous and mixed measures on a compact interval," Statistical Papers, Springer, vol. 53(3), pages 563-575, August.
    5. Raffaella Calabrese, 2012. "Estimating bank loans loss given default by generalized additive models," Working Papers 201224, Geary Institute, University College Dublin.
    6. Bart Keijsers & Bart Diris & Erik Kole, 2015. "Cyclicality in Losses on Bank Loans," Tinbergen Institute Discussion Papers 15-050/III, Tinbergen Institute, revised 01 Sep 2017.
    7. Yulia Kotlyarova & Marcia M Schafgans & Victoria Zinde-Walsh, 2011. "Adapting Kernel Estimation to Uncertain Smoothness," STICERD - Econometrics Paper Series 557, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    8. Peter-Hendrik Ingermann & Frederik Hesse & Christian Bélorgey & Andreas Pfingsten, 2016. "The recovery rate for retail and commercial customers in Germany: a look at collateral and its adjusted market values," Business Research, Springer;German Academic Association for Business Research, vol. 9(2), pages 179-228, August.
    9. Wei, Li & Yuan, Zhongyi, 2016. "The loss given default of a low-default portfolio with weak contagion," Insurance: Mathematics and Economics, Elsevier, vol. 66(C), pages 113-123.
    10. Shi, Xiaojun & Tang, Qihe & Yuan, Zhongyi, 2017. "A limit distribution of credit portfolio losses with low default probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 73(C), pages 156-167.
    11. Gürtler, Marc & Hibbeln, Martin, 2013. "Improvements in loss given default forecasts for bank loans," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2354-2366.
    12. Song Li & Mervyn J. Silvapulle & Param Silvapulle & Xibin Zhang, 2015. "Bayesian Approaches to Nonparametric Estimation of Densities on the Unit Interval," Econometric Reviews, Taylor & Francis Journals, vol. 34(3), pages 394-412, March.
    13. Yao, Xiao & Crook, Jonathan & Andreeva, Galina, 2017. "Enhancing two-stage modelling methodology for loss given default with support vector machines," European Journal of Operational Research, Elsevier, vol. 263(2), pages 679-689.
    14. Norden, Lars & van Kampen, Stefan, 2013. "Corporate leverage and the collateral channel," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5062-5072.
    15. Thamayanthi Chellathurai, 2017. "Probability Density Of Recovery Rate Given Default Of A Firm’S Debt And Its Constituent Tranches," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(04), pages 1-34, June.
    16. Wolter, Marcus & Rösch, Daniel, 2014. "Cure events in default prediction," European Journal of Operational Research, Elsevier, vol. 238(3), pages 846-857.
    17. Raffaella Calabrese, 2012. "Regression Model for Proportions with Probability Masses at Zero and One," Working Papers 201209, Geary Institute, University College Dublin.
    18. Christophe Hurlin & Jérémy Leymarie & Antoine Patin, 2018. "Loss functions for LGD model comparison," Working Papers halshs-01516147, HAL.
    19. Varotto, Simone, 2012. "Stress testing credit risk: The Great Depression scenario," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3133-3149.
    20. Raffaella Calabrese, 2011. "Cost-sensitive classification for rare events: an application to the credit rating model validation for SMEs," Working Papers 201134, Geary Institute, University College Dublin.
    21. Hurlin, Christophe & Leymarie, Jérémy & Patin, Antoine, 2018. "Loss functions for Loss Given Default model comparison," European Journal of Operational Research, Elsevier, vol. 268(1), pages 348-360.
    22. Seidler, Jakub & Konečný, Tomáš & Belyaeva, Aelita & Belyaev, Konstantin, 2017. "The time dimension of the links between loss given default and the macroeconomy," Working Paper Series 2037, European Central Bank.
    23. Calabrese, Raffaella, 2014. "Downturn Loss Given Default: Mixture distribution estimation," European Journal of Operational Research, Elsevier, vol. 237(1), pages 271-277.
    24. Tong, Edward N.C. & Mues, Christophe & Thomas, Lyn, 2013. "A zero-adjusted gamma model for mortgage loan loss given default," International Journal of Forecasting, Elsevier, vol. 29(4), pages 548-562.
    25. Krüger, Steffen & Rösch, Daniel, 2017. "Downturn LGD modeling using quantile regression," Journal of Banking & Finance, Elsevier, vol. 79(C), pages 42-56.
    26. Ruey-Ching Hwang & Huimin Chung & C. K. Chu, 2016. "A Two-Stage Probit Model for Predicting Recovery Rates," Journal of Financial Services Research, Springer;Western Finance Association, vol. 50(3), pages 311-339, December.
    27. Hartmann-Wendels, Thomas & Miller, Patrick & Töws, Eugen, 2014. "Loss given default for leasing: Parametric and nonparametric estimations," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 364-375.
    28. Luca Bagnato & Antonio Punzo, 2013. "Finite mixtures of unimodal beta and gamma densities and the $$k$$ -bumps algorithm," Computational Statistics, Springer, vol. 28(4), pages 1571-1597, August.
    29. Konstantin Belyaev & Aelita Belyaeva & Tomas Konecny & Jakub Seidler & Martin Vojtek, 2012. "Macroeconomic Factors as Drivers of LGD Prediction: Empirical Evidence from the Czech Republic," Working Papers 2012/12, Czech National Bank, Research Department.
    30. Hibbeln, Martin & Gürtler, Marc, 2011. "Pitfalls in modeling loss given default of bank loans," Working Papers IF35V1, Technische Universität Braunschweig, Institute of Finance.
    31. Stanhouse, Bryan & Schwarzkopf, Al & Ingram, Matt, 2011. "A computational approach to pricing a bank credit line," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1341-1351, June.
    32. Han, Chulwoo & Jang, Youngmin, 2013. "Effects of debt collection practices on loss given default," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 21-31.

  2. Anna M. Fiori & Michele Zenga, 2009. "Karl Pearson and the Origin of Kurtosis," International Statistical Review, International Statistical Institute, vol. 77(1), pages 40-50, April.

    Cited by:

    1. Eugene Seneta, 2009. "Karl Pearson in Russian Contexts," International Statistical Review, International Statistical Institute, vol. 77(1), pages 118-146, April.
    2. Nicholas J. Cox, 2010. "Speaking Stata: The limits of sample skewness and kurtosis," Stata Journal, StataCorp LP, vol. 10(3), pages 482-495, September.
    3. Claudio Giovanni Borroni, 2009. "Understanding Karl Pearson's Influence on Italian Statistics in the Early 20th Century," International Statistical Review, International Statistical Institute, vol. 77(1), pages 81-95, April.
    4. Yeboah Asuamah, Samuel, 2015. "An econometric modelling of government activities-total energy demand nexus for Ghana," MPRA Paper 83489, University Library of Munich, Germany.

  3. Claudio Borroni & Michele Zenga, 2007. "A test of concordance based on Gini’s mean difference," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 16(3), pages 289-308, November.

    Cited by:

    1. N. Nair & P. Sankaran & B. Vineshkumar, 2012. "Characterization of distributions by properties of truncated Gini index and mean difference," METRON, Springer;Sapienza Università di Roma, vol. 70(2), pages 173-191, August.
    2. Claudio Borroni, 2013. "A new rank correlation measure," Statistical Papers, Springer, vol. 54(2), pages 255-270, May.

  4. Anna Maria Fiori & Michele Zenga, 2005. "The meaning of kurtosis, the influence function and an early intuition by L. Faleschini," Statistica, Department of Statistics, University of Bologna, vol. 65(2), pages 135-144.

    Cited by:

    1. Anna M. Fiori & Michele Zenga, 2009. "Karl Pearson and the Origin of Kurtosis," International Statistical Review, International Statistical Institute, vol. 77(1), pages 40-50, April.

  5. Michele Zenga & Alessandro Zini, 2001. "A modification of the right tail for heavy-tailed income distributions," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3-4), pages 17-25.

    Cited by:

    1. Porcu, E. & Mateu, J. & Zini, A. & Pini, R., 2007. "Modelling spatio-temporal data: A new variogram and covariance structure proposal," Statistics & Probability Letters, Elsevier, vol. 77(1), pages 83-89, January.

  6. Michele Zenga, 2001. "A multiplicative decomposition of Herfindahl concentration measure," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(1-2), pages 3-10.

    Cited by:

    1. Duijm, Patty & Schoenmaker, Dirk, 2017. "European Banks Straddling Borders: Risky or Rewarding?," CEPR Discussion Papers 12159, C.E.P.R. Discussion Papers.
    2. Goetz, Martin R. & Laeven, Luc & Levine, Ross, 2016. "Does the geographic expansion of banks reduce risk?," Journal of Financial Economics, Elsevier, vol. 120(2), pages 346-362.
    3. Michele Zenga, 2016. "On the decomposition by subpopulations of the point and synthetic Zenga (2007) inequality indexes," METRON, Springer;Sapienza Università di Roma, vol. 74(3), pages 375-405, December.

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