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Raffaella Calabrese

Personal Details

First Name:Raffaella
Middle Name:
Last Name:Calabrese
Suffix:
RePEc Short-ID:pca878
http://www.sx.ac.uk/ebs/staff/profile.aspx?ID=3337
University of Essex Wivenhoe Park Colchester CO4 3SQ

Affiliation

Essex Business School
University of Essex

Colchester, United Kingdom
http://www.essex.ac.uk/ebs/

:
020 76316416
Wivenhoe Park, Colchester C04 3SQ
RePEc:edi:daessuk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Raffaella Calabrese & Silvia Osmetti, 2014. "Modelling cross-border systemic risk in the European banking sector: a copula approach," Papers 1411.1348, arXiv.org.
  2. Galina Andreeva & Raffaella Calabrese & Silvia Angela Osmetti, 2014. "A comparative analysis of the UK and Italian small businesses using Generalised Extreme Value models," Papers 1412.5351, arXiv.org.
  3. Raffaella Calabrese & Johan A. Elkink & Paolo Giudici, 2014. "Measuring Bank Contagion in Europe Using Binary Spatial Regression Models," DEM Working Papers Series 096, University of Pavia, Department of Economics and Management.
  4. 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.
  5. Raffaella Calabrese & Francesco Porro, 2012. "Single-name concentration risk in credit portfolios: a comparison of concentration indices," Working Papers 201214, Geary Institute, University College Dublin.
  6. Raffaella Calabrese, 2012. "Modelling Downturn Loss Given Default," Working Papers 201226, Geary Institute, University College Dublin.
  7. Raffaella Calabrese, 2012. "Regression Model for Proportions with Probability Masses at Zero and One," Working Papers 201209, Geary Institute, University College Dublin.
  8. Raffaella Calabrese, 2012. "Uniform correlation structure and convex stochastic ordering in the PÓlya urn scheme," Working Papers 201216, Geary Institute, University College Dublin.
  9. Raffaella Calabrese, 2012. "Estimating bank loans loss given default by generalized additive models," Working Papers 201224, Geary Institute, University College Dublin.
  10. Raffaella Calabrese, 2012. "Improving Classifier Performance Assessment of Credit Scoring Models," Working Papers 201204, Geary Institute, University College Dublin.
  11. Raffaella Calabrese & Johan A. Elkink, 2012. "Estimators of Binary Spatial Autoregressive Models: A Monte Carlo Study," Working Papers 201215, Geary Institute, University College Dublin.
  12. Raffaella Calabrese & Silvia Angela Osmetti, 2011. "Generalized Extreme Value Regression for Binary Rare Events Data: an Application to Credit Defaults," Working Papers 201120, Geary Institute, University College Dublin.
  13. 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.

Articles

  1. Calabrese, Raffaella & Degl’Innocenti, Marta & Osmetti, Silvia Angela, 2017. "The effectiveness of TARP-CPP on the US banking industry: A new copula-based approach," European Journal of Operational Research, Elsevier, vol. 256(3), pages 1029-1037.
  2. Luca Zanin & Raffaella Calabrese, 2017. "Interaction effects of region-level GDP per capita and age on labour market transition rates in Italy," IZA Journal of Labor Economics, Springer;Forschungsinstitut zur Zukunft der Arbeit GmbH (IZA), vol. 6(1), pages 1-29, December.
  3. Raffaella Calabrese & Giampiero Marra & Silvia Angela Osmetti, 2016. "Bankruptcy prediction of small and medium enterprises using a flexible binary generalized extreme value model," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, pages 604-615.
  4. Andreeva, Galina & Calabrese, Raffaella & Osmetti, Silvia Angela, 2016. "A comparative analysis of the UK and Italian small businesses using Generalised Extreme Value models," European Journal of Operational Research, Elsevier, vol. 249(2), pages 506-516.
  5. Raffaella Calabrese & Paolo Giudici, 2015. "Estimating bank default with generalised extreme value regression models," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, pages 1783-1792.
  6. Raffaella Calabrese & Silvia Angela Osmetti, 2015. "Improving Forecast of Binary Rare Events Data: A GAM‐Based Approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(3), pages 230-239, April.
  7. Anping Chen & Marlon Boarnet & Mark Partridge & Raffaella Calabrese & Johan A. Elkink, 2014. "Estimators Of Binary Spatial Autoregressive Models: A Monte Carlo Study," Journal of Regional Science, Wiley Blackwell, vol. 54(4), pages 664-687, September.
  8. Raffaella Calabrese, 2014. "Optimal cut-off for rare events and unbalanced misclassification costs," Journal of Applied Statistics, Taylor & Francis Journals, vol. 41(8), pages 1678-1693, August.
  9. Calabrese, Raffaella, 2014. "Downturn Loss Given Default: Mixture distribution estimation," European Journal of Operational Research, Elsevier, vol. 237(1), pages 271-277.
  10. 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, vol. 40(6), pages 1172-1188, June.
  11. Calabrese, Raffaella, 2013. "Uniform correlation structure and convex stochastic ordering in the Pólya urn scheme," Statistics & Probability Letters, Elsevier, pages 272-277.
  12. Raffaella Calabrese, 2013. "A probabilistic scheme with uniform correlation structure," Statistics in Transition new series, Główny Urząd Statystyczny (Polska), vol. 14(1), pages 129-138, March.
  13. 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.

Chapters

  1. Raffaella Calabrese & Johan A. Elkink, 2016. "Estimating Binary Spatial Autoregressive Models for Rare Events," Advances in Econometrics,in: Spatial Econometrics: Qualitative and Limited Dependent Variables, volume 37, pages 145-166 Emerald Publishing Ltd.

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.

Working papers

  1. Raffaella Calabrese & Silvia Osmetti, 2014. "Modelling cross-border systemic risk in the European banking sector: a copula approach," Papers 1411.1348, arXiv.org.

    Cited by:

    1. Raffaella Calabrese & Johan A. Elkink & Paolo Giudici, 2014. "Measuring Bank Contagion in Europe Using Binary Spatial Regression Models," DEM Working Papers Series 096, University of Pavia, Department of Economics and Management.
    2. Raffaella Calabrese & Johan A. Elkink & Paolo S. Giudici, 2017. "Measuring bank contagion in Europe using binary spatial regression models," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, pages 1503-1511.

  2. Galina Andreeva & Raffaella Calabrese & Silvia Angela Osmetti, 2014. "A comparative analysis of the UK and Italian small businesses using Generalised Extreme Value models," Papers 1412.5351, arXiv.org.

    Cited by:

    1. Calabrese, Raffaella & Degl’Innocenti, Marta & Osmetti, Silvia Angela, 2017. "The effectiveness of TARP-CPP on the US banking industry: A new copula-based approach," European Journal of Operational Research, Elsevier, vol. 256(3), pages 1029-1037.
    2. Olga N. Kusakina & Natalia V. Bannikova & Svetlana S. Morkovina & Tatiana N. Litvinova, 2016. "State Stimulation of Development of Small Entrepreneurship in Developing Countries," European Research Studies Journal, European Research Studies Journal, vol. 0(2), pages 276-284.

  3. 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.

    Cited by:

    1. Raffaella Calabrese & Johan A. Elkink & Paolo Giudici, 2014. "Measuring Bank Contagion in Europe Using Binary Spatial Regression Models," DEM Working Papers Series 096, University of Pavia, Department of Economics and Management.
    2. Prosper Senyo Koto, 2017. "Is Social Capital Important In Formal-Informal Sector Linkages?," Journal of Developmental Entrepreneurship (JDE), World Scientific Publishing Co. Pte. Ltd., vol. 22(02), pages 1-16, June.
    3. Raffaella Calabrese & Silvia Osmetti, 2014. "Modelling cross-border systemic risk in the European banking sector: a copula approach," Papers 1411.1348, arXiv.org.

  4. Raffaella Calabrese & Francesco Porro, 2012. "Single-name concentration risk in credit portfolios: a comparison of concentration indices," Working Papers 201214, Geary Institute, University College Dublin.

    Cited by:

    1. Jan Kluge, 2015. "Sectoral Diversification as Insurance against Economic Instability," ifo Working Paper Series 206, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.

  5. Raffaella Calabrese, 2012. "Regression Model for Proportions with Probability Masses at Zero and One," Working Papers 201209, Geary Institute, University College Dublin.

    Cited by:

    1. Dionne, Georges & Desjardins, Denise, 2017. "Reinsurance Demand and Liquidity Creation," Working Papers 17-3, HEC Montreal, Canada Research Chair in Risk Management.

  6. Raffaella Calabrese & Johan A. Elkink, 2012. "Estimators of Binary Spatial Autoregressive Models: A Monte Carlo Study," Working Papers 201215, Geary Institute, University College Dublin.

    Cited by:

    1. Corral, Paul & Radchenko, Natalia, 2017. "What’s So Spatial about Diversification in Nigeria?," World Development, Elsevier, vol. 95(C), pages 231-253.
    2. Samuel Brazys & Johan A. Elkink & Gina Kelly, 2017. "Bad neighbors? How co-located Chinese and World Bank development projects impact local corruption in Tanzania," The Review of International Organizations, Springer, vol. 12(2), pages 227-253, June.
    3. Raffaella Calabrese & Johan A. Elkink & Paolo Giudici, 2014. "Measuring Bank Contagion in Europe Using Binary Spatial Regression Models," DEM Working Papers Series 096, University of Pavia, Department of Economics and Management.
    4. Raffaella Calabrese & Johan A. Elkink & Paolo S. Giudici, 2017. "Measuring bank contagion in Europe using binary spatial regression models," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, pages 1503-1511.
    5. Martinetti, Davide & Geniaux, Ghislain, 2017. "Approximate likelihood estimation of spatial probit models," Regional Science and Urban Economics, Elsevier, vol. 64(C), pages 30-45.
    6. Adriana Nikolic & Christoph Weiss, 2014. "Spatial interactions in location decisions: Empirical evidence from a Bayesian spatial probit model," Department of Economics Working Papers wuwp177, Vienna University of Economics and Business, Department of Economics.
    7. Chandra Bhat, 2015. "A new spatial (social) interaction discrete choice model accommodating for unobserved effects due to endogenous network formation," Transportation, Springer, vol. 42(5), pages 879-914, September.
    8. Adjognon, Serge & Liverpool-Tasie, Lenis Saweda O., 2014. "Spatial Dependence in the Adoption of the Urea Deep Placement for Rice Production in Niger State, Nigeria: A Bayesian Spatial Autoregressive Probit Estimation Approach," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 170515, Agricultural and Applied Economics Association.

  7. Raffaella Calabrese & Silvia Angela Osmetti, 2011. "Generalized Extreme Value Regression for Binary Rare Events Data: an Application to Credit Defaults," Working Papers 201120, Geary Institute, University College Dublin.

    Cited by:

    1. Raffaella Calabrese, 2012. "Improving Classifier Performance Assessment of Credit Scoring Models," Working Papers 201204, Geary Institute, University College Dublin.
    2. Eleonora Bartoloni & Maurizio Baussola, 2014. "Financial Performance in Manufacturing Firms: A Comparison Between Parametric and Non-Parametric Approaches," Business Economics, Palgrave Macmillan;National Association for Business Economics, vol. 49(1), pages 32-45, January.
    3. 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.

Articles

  1. Calabrese, Raffaella & Degl’Innocenti, Marta & Osmetti, Silvia Angela, 2017. "The effectiveness of TARP-CPP on the US banking industry: A new copula-based approach," European Journal of Operational Research, Elsevier, vol. 256(3), pages 1029-1037.

    Cited by:

    1. Florentina Melnic, 2017. "The Financial Crisis Response. Comparative Analysis Between European Union And Usa," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 19, pages 129-155, June.

  2. Raffaella Calabrese & Giampiero Marra & Silvia Angela Osmetti, 2016. "Bankruptcy prediction of small and medium enterprises using a flexible binary generalized extreme value model," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, pages 604-615.

    Cited by:

    1. Calabrese, Raffaella & Degl’Innocenti, Marta & Osmetti, Silvia Angela, 2017. "The effectiveness of TARP-CPP on the US banking industry: A new copula-based approach," European Journal of Operational Research, Elsevier, vol. 256(3), pages 1029-1037.
    2. Andreeva, Galina & Calabrese, Raffaella & Osmetti, Silvia Angela, 2016. "A comparative analysis of the UK and Italian small businesses using Generalised Extreme Value models," European Journal of Operational Research, Elsevier, vol. 249(2), pages 506-516.
    3. Raffaella Calabrese & Silvia Osmetti, 2014. "Modelling cross-border systemic risk in the European banking sector: a copula approach," Papers 1411.1348, arXiv.org.

  3. Andreeva, Galina & Calabrese, Raffaella & Osmetti, Silvia Angela, 2016. "A comparative analysis of the UK and Italian small businesses using Generalised Extreme Value models," European Journal of Operational Research, Elsevier, vol. 249(2), pages 506-516.
    See citations under working paper version above.
  4. Raffaella Calabrese & Paolo Giudici, 2015. "Estimating bank default with generalised extreme value regression models," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, pages 1783-1792.

    Cited by:

    1. Calabrese, Raffaella & Degl’Innocenti, Marta & Osmetti, Silvia Angela, 2017. "The effectiveness of TARP-CPP on the US banking industry: A new copula-based approach," European Journal of Operational Research, Elsevier, vol. 256(3), pages 1029-1037.
    2. Raffaella Calabrese & Johan A. Elkink & Paolo S. Giudici, 2017. "Measuring bank contagion in Europe using binary spatial regression models," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, pages 1503-1511.

  5. Raffaella Calabrese & Silvia Angela Osmetti, 2015. "Improving Forecast of Binary Rare Events Data: A GAM‐Based Approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(3), pages 230-239, April.

    Cited by:

    1. Calabrese, Raffaella & Degl’Innocenti, Marta & Osmetti, Silvia Angela, 2017. "The effectiveness of TARP-CPP on the US banking industry: A new copula-based approach," European Journal of Operational Research, Elsevier, vol. 256(3), pages 1029-1037.
    2. Andreeva, Galina & Calabrese, Raffaella & Osmetti, Silvia Angela, 2016. "A comparative analysis of the UK and Italian small businesses using Generalised Extreme Value models," European Journal of Operational Research, Elsevier, vol. 249(2), pages 506-516.

  6. Anping Chen & Marlon Boarnet & Mark Partridge & Raffaella Calabrese & Johan A. Elkink, 2014. "Estimators Of Binary Spatial Autoregressive Models: A Monte Carlo Study," Journal of Regional Science, Wiley Blackwell, vol. 54(4), pages 664-687, September.
    See citations under working paper version above.
  7. Calabrese, Raffaella, 2014. "Downturn Loss Given Default: Mixture distribution estimation," European Journal of Operational Research, Elsevier, vol. 237(1), pages 271-277.

    Cited by:

    1. 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.
    2. Lessmann, Stefan & Baesens, Bart & Seow, Hsin-Vonn & Thomas, Lyn C., 2015. "Benchmarking state-of-the-art classification algorithms for credit scoring: An update of research," European Journal of Operational Research, Elsevier, vol. 247(1), pages 124-136.
    3. 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.
    4. Christophe Hurlin & Jérémy Leymarie & Antoine Patin, 2017. "Loss functions for LGD model comparison," Working Papers halshs-01516147, HAL.
    5. Krüger, Steffen & Rösch, Daniel, 2017. "Downturn LGD modeling using quantile regression," Journal of Banking & Finance, Elsevier, vol. 79(C), pages 42-56.

  8. 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, vol. 40(6), pages 1172-1188, June.

    Cited by:

    1. Calabrese, Raffaella & Degl’Innocenti, Marta & Osmetti, Silvia Angela, 2017. "The effectiveness of TARP-CPP on the US banking industry: A new copula-based approach," European Journal of Operational Research, Elsevier, vol. 256(3), pages 1029-1037.
    2. Andreeva, Galina & Calabrese, Raffaella & Osmetti, Silvia Angela, 2016. "A comparative analysis of the UK and Italian small businesses using Generalised Extreme Value models," European Journal of Operational Research, Elsevier, vol. 249(2), pages 506-516.
    3. Raffaella Calabrese & Silvia Osmetti, 2014. "Modelling cross-border systemic risk in the European banking sector: a copula approach," Papers 1411.1348, arXiv.org.

  9. 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. Wolter, Marcus & Rösch, Daniel, 2014. "Cure events in default prediction," European Journal of Operational Research, Elsevier, vol. 238(3), pages 846-857.
    16. Raffaella Calabrese, 2012. "Regression Model for Proportions with Probability Masses at Zero and One," Working Papers 201209, Geary Institute, University College Dublin.
    17. Christophe Hurlin & Jérémy Leymarie & Antoine Patin, 2017. "Loss functions for LGD model comparison," Working Papers halshs-01516147, HAL.
    18. Varotto, Simone, 2012. "Stress testing credit risk: The Great Depression scenario," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3133-3149.
    19. 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.
    20. 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.
    21. Calabrese, Raffaella, 2014. "Downturn Loss Given Default: Mixture distribution estimation," European Journal of Operational Research, Elsevier, vol. 237(1), pages 271-277.
    22. 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.
    23. Krüger, Steffen & Rösch, Daniel, 2017. "Downturn LGD modeling using quantile regression," Journal of Banking & Finance, Elsevier, vol. 79(C), pages 42-56.
    24. 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.
    25. 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.
    26. 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.
    27. 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.
    28. Hibbeln, Martin & Gürtler, Marc, 2011. "Pitfalls in modeling loss given default of bank loans," Working Papers IF35V1, Technische Universität Braunschweig, Institute of Finance.
    29. 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.
    30. 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.

Chapters

  1. Raffaella Calabrese & Johan A. Elkink, 2016. "Estimating Binary Spatial Autoregressive Models for Rare Events," Advances in Econometrics,in: Spatial Econometrics: Qualitative and Limited Dependent Variables, volume 37, pages 145-166 Emerald Publishing Ltd.

    Cited by:

    1. Raffaella Calabrese & Johan A. Elkink & Paolo S. Giudici, 2017. "Measuring bank contagion in Europe using binary spatial regression models," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, pages 1503-1511.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 11 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (8) 2011-09-22 2012-03-14 2012-03-21 2012-05-29 2012-11-03 2013-03-16 2014-11-17 2015-01-09. Author is listed
  2. NEP-BAN: Banking (7) 2011-09-22 2012-03-14 2012-05-29 2012-11-03 2013-03-16 2014-11-17 2014-12-13. Author is listed
  3. NEP-ECM: Econometrics (5) 2011-09-22 2012-03-21 2012-06-25 2012-11-03 2014-11-17. Author is listed
  4. NEP-CBA: Central Banking (2) 2012-11-03 2013-03-16
  5. NEP-URE: Urban & Real Estate Economics (2) 2012-06-25 2014-12-13
  6. NEP-CMP: Computational Economics (1) 2012-03-14
  7. NEP-EEC: European Economics (1) 2014-12-13
  8. NEP-FOR: Forecasting (1) 2012-03-14
  9. NEP-MAC: Macroeconomics (1) 2012-11-03
  10. NEP-ORE: Operations Research (1) 2011-09-22

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