Similar Search Results

Uniform correlation structure and convex stochastic ordering in the pólya urn scheme

Calabrese, Raffaella - 2012

Persistent link: https://www.econbiz.de/10009559725

Single-name concentration risk in credit portfolios : a comparison of concentration indices

Calabrese, Raffaella; Porro, Francesco - 2012

Persistent link: https://www.econbiz.de/10009559737

Estimating bank default with generalised extreme value regression models

Calabrese, Raffaella; Giudici, Paolo - In: Journal of the Operational Research Society : OR 66 (2015) 11, pp. 1783-1792

Persistent link: https://www.econbiz.de/10011418442

Improving forecast of binary rare events data : a GAM-based approach

Calabrese, Raffaella; Osmetti, Silvia Angela - In: Journal of forecasting 34 (2015) 3, pp. 230-239

Persistent link: https://www.econbiz.de/10011305247

Modelling downturn loss given default

Calabrese, Raffaella - 2012

Persistent link: https://www.econbiz.de/10009755839

Estimating bank loans loss given default by generalized additive models

Calabrese, Raffaella - 2012

Persistent link: https://www.econbiz.de/10009755842

Downturn loss given default : mixture distribution estimation

Calabrese, Raffaella - In: European journal of operational research : EJOR 237 (2014) 1, pp. 271-277

Persistent link: https://www.econbiz.de/10010378609

Improving classifier performance assessment of credit scoring models

Calabrese, Raffaella - 2012

Persistent link: https://www.econbiz.de/10009515748

Crypto exchanges and credit risk : modeling and forecasting the probability of closure

Fantazzini, Dean; Calabrese, Raffaella - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-23

While there is increasing interest in crypto assets, the credit risk of these exchanges is still relatively unexplored. To fill this gap, we considered a unique dataset of 144 exchanges, active from the first quarter of 2018 to the first quarter of 2021. We analyzed the determinants surrounding...

Persistent link: https://www.econbiz.de/10012794905

Crypto-exchanges and Credit Risk : Modelling and Forecasting the Probability of Closure

Fantazzini, Dean; Calabrese, Raffaella - 2021

While there is an increasing interest in crypto-assets, the credit risk of these exchanges is still relatively unexplored. To fill this gap, we consider a unique data set on 144 exchanges active from the first quarter of 2018 to the first quarter of 2021. We analyze the determinants of the...

Persistent link: https://www.econbiz.de/10013314480