9
H index
9
i10 index
233
Citations
Raffaella Calabrese : Citation Profile
University of Edinburgh | RESEARCH PRODUCTION: 18 Articles 13 Papers 2 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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11 years (2010 - 2021). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Raffaella Calabrese. | Is cited by:
| Cites to:
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Main data
Where Raffaella Calabrese has published?
| Journals with more than one article published | # docs |
|---|---|
| European Journal of Operational Research | 5 |
| Journal of the Operational Research Society | 3 |
| Journal of Applied Statistics | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Working Papers / Geary Institute, University College Dublin | 9 |
| Papers / arXiv.org | 2 |
| DEM Working Papers Series / University of Pavia, Department of Economics and Management | 2 |
Recent works citing Raffaella Calabrese (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Joint model for longitudinal and spatio-temporal survival data. (2023). Lindgren, Finn ; Medina-Olivares, Victor ; Crook, Jonathan ; Calabrese, Raffaella. In: Papers. RePEc:arx:papers:2311.04008. Full description at Econpapers || Download paper |
| 2024 | The TruEnd-procedure: Treating trailing zero-valued balances in credit data. (2024). Bester, Roelinde ; Verster, Tanja ; Botha, Arno. In: Papers. RePEc:arx:papers:2404.17008. Full description at Econpapers || Download paper |
| 2024 | Exit Spillovers of Foreign-invested Enterprises in Shenzhens Electronics Manufacturing Industry. (2024). Zhang, Hanqiao. In: Papers. RePEc:arx:papers:2404.18009. Full description at Econpapers || Download paper |
| 2023 | A flexible estimation of sectoral portfolio exposure to climate transition risks in the European stock market. (2023). Zanin, Luca. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:39:y:2023:i:c:s2214635023000382. Full description at Econpapers || Download paper |
| 2023 | Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework. (2023). Vrins, Frederic ; Barbagli, Matteo. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001335. Full description at Econpapers || Download paper |
| 2023 | One or two-step? Evaluating GMM efficiency for spatial binary probit models. (2023). Sarrias, Mauricio ; Piras, Gianfranco. In: Journal of choice modelling. RePEc:eee:eejocm:v:48:y:2023:i:c:s1755534523000337. Full description at Econpapers || Download paper |
| 2023 | Corporate credit risk counter-cyclical interdependence: A systematic analysis of cross-border and cross-sector correlation dynamics. (2023). Christopoulos, Apostolos ; Zopounidis, Constantin ; Karanasos, Menelaos ; Yfanti, Stavroula. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:2:p:813-831. Full description at Econpapers || Download paper |
| 2023 | Contagion effects of UK small business failures: A spatial hierarchical autoregressive model for binary data. (2023). Calabrese, Raffaella. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:2:p:989-997. Full description at Econpapers || Download paper |
| 2023 | Operational research and artificial intelligence methods in banking. (2023). Zhang, Wenke ; Platanakis, Emmanouil ; Gounopoulos, Dimitrios ; Zopounidis, Constantin ; Doumpos, Michalis. In: European Journal of Operational Research. RePEc:eee:ejores:v:306:y:2023:i:1:p:1-16. Full description at Econpapers || Download paper |
| 2023 | Joint models for longitudinal and discrete survival data in credit scoring. (2023). Lindgren, Finn ; Crook, Jonathan ; Calabrese, Raffaella ; Medina-Olivares, Victor. In: European Journal of Operational Research. RePEc:eee:ejores:v:307:y:2023:i:3:p:1457-1473. Full description at Econpapers || Download paper |
| 2023 | Joint models of multivariate longitudinal outcomes and discrete survival data with INLA: An application to credit repayment behaviour. (2023). Crook, Jonathan ; Calabrese, Raffaella ; Lindgren, Finn ; Medina-Olivares, Victor. In: European Journal of Operational Research. RePEc:eee:ejores:v:310:y:2023:i:2:p:860-873. Full description at Econpapers || Download paper |
| 2024 | Interpretable machine learning for imbalanced credit scoring datasets. (2024). Martin-Barragan, Belen ; Calabrese, Raffaella ; Chen, Yujia. In: European Journal of Operational Research. RePEc:eee:ejores:v:312:y:2024:i:1:p:357-372. Full description at Econpapers || Download paper |
| 2024 | A simulation-based method for estimating systemic risk measures. (2024). Chen, Pengzhan ; Zhou, YI ; Ye, Wuyi ; Wu, Bin. In: European Journal of Operational Research. RePEc:eee:ejores:v:313:y:2024:i:1:p:312-324. Full description at Econpapers || Download paper |
| 2024 | Impacts of extreme weather events on mortgage risks and their evolution under climate change: A case study on Florida. (2024). Mandel, Antoine ; Dombrowski, Timothy ; Calabrese, Raffaella ; Zanin, Luca ; Pace, Kelley R. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:1:p:377-392. Full description at Econpapers || Download paper |
| 2023 | Inflation and west African sectoral stock price indices: An asymmetric kernel method analysis. (2023). Banto, Jean Michel ; Some, Sobom Matthieu ; Aurelien, Libaud Rudy. In: Emerging Markets Review. RePEc:eee:ememar:v:54:y:2023:i:c:s1566014122001042. Full description at Econpapers || Download paper |
| 2023 | Determinants of connectedness in financial institutions: Evidence from Taiwan. (2023). Mo, Wan-Shin ; Chiang, Shu-Hen ; Chen, Yu-Lun. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014122000681. Full description at Econpapers || Download paper |
| 2023 | A two-stage credit scoring model based on random forest: Evidence from Chinese small firms. (2023). Ballester, Laura ; Shen, Long ; Zhou, Ying. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002715. Full description at Econpapers || Download paper |
| 2023 | Loss given default or default status: Which is better to determine farmers’ credit ratings?. (2023). Hua, Yiting ; Shi, Baofeng ; Chai, Nana. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s154461232300048x. Full description at Econpapers || Download paper |
| 2023 | A user-centered explainable artificial intelligence approach for financial fraud detection. (2023). Xiao, Zhi ; Li, Haoran ; Zhou, Ying ; Qiu, Jing. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pa:s1544612323006815. Full description at Econpapers || Download paper |
| 2023 | The impact of macroeconomic scenarios on recurrent delinquency: A stress testing framework of multi-state models for mortgages. (2023). Andreeva, Galina ; Crook, Jonathan ; Bocchio, Cecilia. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1655-1677. Full description at Econpapers || Download paper |
| 2023 | Predicting loss given default of unsecured consumer loans with time-varying survival scores. (2023). Bellotti, Anthony ; Li, Zhiyong. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:78:y:2023:i:c:s0927538x2300015x. Full description at Econpapers || Download paper |
| 2024 | Bank failure prediction models: Review and outlook. (2024). Citterio, Alberto. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:92:y:2024:i:c:s003801212400017x. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2024 | . Full description at Econpapers || Download paper |
Works by Raffaella Calabrese:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2014 | Modelling cross-border systemic risk in the European banking sector: a copula approach In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2014 | A comparative analysis of the UK and Italian small businesses using Generalised Extreme Value models In: Papers. [Full Text][Citation analysis] | paper | 10 |
| 2016 | A comparative analysis of the UK and Italian small businesses using Generalised Extreme Value models.(2016) In: European Journal of Operational Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | article | |
| 2014 | ESTIMATORS OF BINARY SPATIAL AUTOREGRESSIVE MODELS: A MONTE CARLO STUDY In: Journal of Regional Science. [Full Text][Citation analysis] | article | 21 |
| 2012 | Estimators of Binary Spatial Autoregressive Models: A Monte Carlo Study.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | paper | |
| 2013 | A probabilistic scheme with uniform correlation structure In: Statistics in Transition new series. [Full Text][Citation analysis] | article | 0 |
| 2014 | Downturn Loss Given Default: Mixture distribution estimation In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 21 |
| 2017 | The effectiveness of TARP-CPP on the US banking industry: A new copula-based approach In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 18 |
| 2019 | A new approach to measure systemic risk: A bivariate copula model for dependent censored data In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 9 |
| 2020 | Spatial contagion in mortgage defaults: A spatial dynamic survival model with time and space varying coefficients In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 11 |
| 2010 | Bank loan recovery rates: Measuring and nonparametric density estimation In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 58 |
| 2019 | Mortgage default decisions in the presence of non-normal, spatially dependent disturbances In: Regional Science and Urban Economics. [Full Text][Citation analysis] | article | 1 |
| 2013 | Uniform correlation structure and convex stochastic ordering in the Pólya urn scheme In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 0 |
| 2012 | Uniform correlation structure and convex stochastic ordering in the PÓlya urn scheme.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2016 | Estimating Binary Spatial Autoregressive Models for Rare Events In: Advances in Econometrics. [Full Text][Citation analysis] | chapter | 1 |
| 2015 | Estimating bank default with generalised extreme value regression models In: Journal of the Operational Research Society. [Full Text][Citation analysis] | article | 21 |
| 2016 | Bankruptcy prediction of small and medium enterprises using a flexible binary generalized extreme value model In: Journal of the Operational Research Society. [Full Text][Citation analysis] | article | 15 |
| 2017 | Measuring bank contagion in Europe using binary spatial regression models In: Journal of the Operational Research Society. [Full Text][Citation analysis] | article | 8 |
| 2014 | Measuring Bank Contagion in Europe Using Binary Spatial Regression Models.(2014) In: DEM Working Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
| 2017 | Access to Bank Credit: The Role of Awareness of Government Initiatives for UK SMEs In: Palgrave Macmillan Studies in Banking and Financial Institutions. [Citation analysis] | chapter | 0 |
| 2013 | Estimating bank default with generalised extreme value models In: DEM Working Papers Series. [Full Text][Citation analysis] | paper | 2 |
| 2017 | Interaction effects of region-level GDP per capita and age on labour market transition rates in Italy In: IZA Journal of Labor Economics. [Full Text][Citation analysis] | article | 5 |
| 2021 | What affects bank debt rejections? Bank lending conditions for UK SMEs In: The European Journal of Finance. [Full Text][Citation analysis] | article | 2 |
| 2013 | Modelling small and medium enterprise loan defaults as rare events: the generalized extreme value regression model In: Journal of Applied Statistics. [Full Text][Citation analysis] | article | 12 |
| 2014 | Optimal cut-off for rare events and unbalanced misclassification costs In: Journal of Applied Statistics. [Full Text][Citation analysis] | article | 1 |
| 2011 | Generalized Extreme Value Regression for Binary Rare Events Data: an Application to Credit Defaults In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2011 | Cost-sensitive classification for rare events: an application to the credit rating model validation for SMEs In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2012 | Improving Classifier Performance Assessment of Credit Scoring Models In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2012 | Regression Model for Proportions with Probability Masses at Zero and One In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2012 | Single-name concentration risk in credit portfolios: a comparison of concentration indices In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2012 | Estimating bank loans loss given default by generalized additive models In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2012 | Modelling Downturn Loss Given Default In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | “Birds of a Feather” Fail Together: Exploring the Nature of Dependency in SME Defaults In: Risk Analysis. [Full Text][Citation analysis] | article | 7 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team