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Raffaella Calabrese

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

:
020 76316416
Wivenhoe Park, Colchester C04 3SQ
RePEc:edi:daessuk (more details at EDIRC)
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  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. 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 & Silvia Osmetti, 2014. "Modelling cross-border systemic risk in the European banking sector: a copula approach," Papers 1411.1348, arXiv.org.
  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, 2012. "Estimating bank loans loss given default by generalized additive models," Working Papers 201224, Geary Institute, University College Dublin.
  6. Raffaella Calabrese, 2012. "Regression Model for Proportions with Probability Masses at Zero and One," Working Papers 201209, Geary Institute, University College Dublin.
  7. Raffaella Calabrese, 2012. "Modelling Downturn Loss Given Default," Working Papers 201226, Geary Institute, University College Dublin.
  8. Raffaella Calabrese & Johan A. Elkink, 2012. "Estimators of Binary Spatial Autoregressive Models: A Monte Carlo Study," Working Papers 201215, Geary Institute, University College Dublin.
  9. 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.
  10. Raffaella Calabrese, 2012. "Improving Classifier Performance Assessment of Credit Scoring Models," Working Papers 201204, Geary Institute, University College Dublin.
  11. Raffaella Calabrese, 2012. "Uniform correlation structure and convex stochastic ordering in the PÓlya urn scheme," Working Papers 201216, Geary Institute, University College Dublin.
  12. 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.
  13. 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.
  1. 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, vol. 67(4), pages 604-615, April.
  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 & Paolo Giudici, 2015. "Estimating bank default with generalised extreme value regression models," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 66(11), pages 1783-1792, November.
  4. 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, 04.
  5. 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, 09.
  6. Calabrese, Raffaella, 2014. "Downturn Loss Given Default: Mixture distribution estimation," European Journal of Operational Research, Elsevier, vol. 237(1), pages 271-277.
  7. 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.
  8. Calabrese, Raffaella, 2013. "Uniform correlation structure and convex stochastic ordering in the Pólya urn scheme," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 272-277.
  9. 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.
  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 & Zenga, Michele, 2010. "Bank loan recovery rates: Measuring and nonparametric density estimation," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 903-911, May.
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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