Raffaella Calabrese

University of Edinburgh - Edinburgh Business School

29 Buccleuch Pl

Edinburgh, Scotland EH8 9JS

United Kingdom

  • University of Edinburgh - Edinburgh Business School

SCHOLARLY PAPERS

12

DOWNLOADS

1,931

TOTAL CITATIONS

10

Scholarly Papers (12)

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1.

Impacts of Extreme Weather Events on Mortgage Risks and Their Evolution under Climate Change: A Case Study on Florida

European Journal of Operational Research, Vol.314, 377-392 (2024)
Number of pages: 49 Posted: 28 Sep 2021 Last Revised: 16 Jan 2024
Raffaella Calabrese, Timothy Dombrowski, Antoine Mandel, R. Kelley Pace and Luca Zanin
University of Edinburgh - Edinburgh Business School, University of Missouri at Saint Louis, Université Paris I Panthéon-SorbonneClimate Finance Alpha, Louisiana State University - E.J. Ourso College of Business Administration and Prometeia
Downloads 681 (80,916)
Citation 5

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Climate Change, Credit Risk, Mortgage, Defaults, Mortgage Prepayments, Tropical Cyclones, Survival Analysis, Spatial Effects

2.

Credit Risk and Artificial Intelligence: On the Need for Convergent Regulation

Number of pages: 10 Posted: 27 Nov 2023
Cristián Bravo, Raffaella Calabrese, Stefan Lessmann, Christophe Mues and María Óskarsdóttir
Western University, Canada, University of Edinburgh - Edinburgh Business School, School of Business and Economics, Humboldt-University of Berlin, University of Southampton and Reykjavik University
Downloads 450 (135,541)

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Credit Risk, Artificial Intelligence, Banking Regulation

3.

Climate stress testing for mortgage default probability

International Review of Financial Analysis, Volume 95 Part B, 103497
Number of pages: 35 Posted: 08 Mar 2024 Last Revised: 25 Aug 2024
Luca Zanin, Raffaella Calabrese and Connor Innes Thorburn
Prometeia, University of Edinburgh - Edinburgh Business School and Prometeia SpA
Downloads 189 (334,381)
Citation 1

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Climate stress testing, Mortgage default probability, Survival model, Extreme physical risks, Return period

4.

Inflated Mixture Models: Applications to Multimodality in Loss Given Default

Number of pages: 16 Posted: 27 Jul 2015
Mauro de Oliveira Jr, Francisco Louzada, Gustavo Henrique de Araujo Pereira, Fernando F Moreira and Raffaella Calabrese
Caixa Econômica Federal, University of São Paulo (USP), Universidade Federal de São Carlos, Credit Research Centre, University of Edinburgh Business School and University of Edinburgh - Edinburgh Business School
Downloads 178 (353,010)

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Basel II, inflated model, MLE, mixture model, multimodality, retail exposures

5.

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

Journal of Risk and Financial Management, forthcoming
Number of pages: 31 Posted: 18 Nov 2021
Dean Fantazzini and Raffaella Calabrese
Moscow State University and University of Edinburgh - Edinburgh Business School
Downloads 142 (427,134)

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Exchange, Bitcoin, Crypto-assets, Crypto-currencies, Credit risk, Bankruptcy, Default Probability

6.

Measuring the Energy Poverty Premium in the UK and Identifying its Main Drivers Based on Longitudinal Household Survey Data

Downloads 72 (677,598)

Measuring the Energy Poverty Premium in the UK and Identifying its Main Drivers Based on Longitudinal Household Survey Data

Number of pages: 32 Posted: 23 Oct 2023
Fiona Rasanga, Tina Harrison and Raffaella Calabrese
affiliation not provided to SSRN, University of Edinburgh and University of Edinburgh - Edinburgh Business School
Downloads 34 (972,284)

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Energy Poverty Premium, Inequality, Panel data, Household, Cost of Living

Measuring the Energy Poverty Premium in the UK and Identifying its Main Drivers Based on Longitudinal Household Survey Data

Number of pages: 32 Posted: 24 Oct 2023
Fiona Rasanga, Tina Harrison and Raffaella Calabrese
affiliation not provided to SSRN, University of Edinburgh and University of Edinburgh - Edinburgh Business School
Downloads 22 (1,112,120)

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Energy Poverty Premium, Inequality, Panel data, Household, Cost of Living

Measuring the Energy Poverty Premium in the UK and Identifying its Main Drivers Based on Longitudinal Household Survey Data

Number of pages: 32 Posted: 24 Oct 2023
Fiona Rasanga, Tina Harrison and Raffaella Calabrese
affiliation not provided to SSRN, University of Edinburgh and University of Edinburgh - Edinburgh Business School
Downloads 16 (1,193,665)

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Energy Poverty Premium, Inequality, Panel data, Household, Cost of Living

7.

Climate Stress Testing for Mortgage Default Probability

Number of pages: 31 Posted: 07 Mar 2024
Luca Zanin, Raffaella Calabrese and Connor Innes Thorburn
Prometeia SpA, University of Edinburgh - Edinburgh Business School and Prometeia SpA
Downloads 55 (775,624)

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Climate stress testing, Mortgage default probability, Survival model, Extreme physical risks, Return period.

8.

Interaction Effects of Region-Level GDP Per Capita and Age on Labour Market Transition Rates in Italy

IZA Journal of Labor Economics, Forthcoming
Number of pages: 29 Posted: 14 Feb 2017 Last Revised: 09 Apr 2017
Luca Zanin and Raffaella Calabrese
Prometeia and University of Edinburgh - Edinburgh Business School
Downloads 41 (881,787)
Citation 3

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Transition probabilities; Flexible hierarchical logit model; Tensor interaction product; Markov chain framework; Labour market policies

9.

Modelling Spatial Dependence for Loss Given Default in Peer-To-Peer Lending

Expert Systems with Applications, 192, 116295 (2022).
Number of pages: 27 Posted: 20 Apr 2022
Raffaella Calabrese and Luca Zanin
University of Edinburgh - Edinburgh Business School and Prometeia
Downloads 39 (899,540)
Citation 1

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Loss Given Default; Two-Stage Approach; Peer-to-Peer Lending; Spatial Effects

10.

Big Banks and Small Banks – Does Transactional Lending Outperform Relational Lending in Default Prediction and Loss Given Default?

Number of pages: 39 Posted: 22 Feb 2024
Raffaella Calabrese, Marc Cowling and Vuong Chu
University of Edinburgh - Edinburgh Business School, Oxford Brookes University and Westminster Business School
Downloads 31 (976,853)

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Small Business Lending, Default, Loss Given Default, Relationship Banking, Transactional lending

11.

Sample Selection Bias in Non-Traditional Lending: A Copula-Based Approach for Imbalanced Data

Socio-Economic Planning Science
Number of pages: 40 Posted: 25 Sep 2024
Raffaella Calabrese, Silvia Osmetti and Luca Zanin
University of Edinburgh - Edinburgh Business School, Catholic University of the Sacred Heart of Milan and Prometeia
Downloads 27 (1,020,309)

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Sample selection bias, Class imbalance, Copula function, Peer-to-peer lending

12.

Does Local Bank Structure Influence Access to Finance for Small Businesses?

Number of pages: 27 Posted: 09 May 2024
Raffaella Calabrese, Marc Cowling and Vuong Chu
University of Edinburgh - Edinburgh Business School, Oxford Brookes University and Westminster Business School
Downloads 26 (1,043,267)

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Finance, SMEs, bank structure, credit rationing