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Michele Zenga

Personal Details

First Name:Michele
Middle Name:
Last Name:Zenga
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RePEc Short-ID:pze87
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Affiliation

Dipartimento di Metodi Quantitativi per le Scienze Economiche e Aziendali
Scuola di Economia e Statistica
Università degli Studi di Milano-Bicocca

Milano, Italy
http://www.dimequant.unimib.it/
RePEc:edi:dqmibit (more details at EDIRC)

Research output

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Jump to: Articles

Articles

  1. 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.
  2. Anna M. Fiori & Michele Zenga, 2009. "Karl Pearson and the Origin of Kurtosis," International Statistical Review, International Statistical Institute, vol. 77(1), pages 40-50, April.
  3. Paolo Radaelli & Michele Zenga, 2008. "Quantity quantiles linear regression," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 17(4), pages 455-469, October.
  4. Claudio Borroni & Michele Zenga, 2007. "A test of concordance based on Gini’s mean difference," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 16(3), pages 289-308, November.
  5. Anna Maria Fiori & Michele Zenga, 2005. "The meaning of kurtosis, the influence function and an early intuition by L. Faleschini," Statistica, Department of Statistics, University of Bologna, vol. 65(2), pages 135-144.
  6. Michele Zenga, 2001. "A multiplicative decomposition of Herfindahl concentration measure," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(1-2), pages 3-10.
  7. Michele Zenga & Alessandro Zini, 2001. "A modification of the right tail for heavy-tailed income distributions," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3-4), pages 17-25.

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.

Articles

  1. 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. Nazemi, Abdolreza & Rezazadeh, Hani & Fabozzi, Frank J. & Höchstötter, Markus, 2022. "Deep learning for modeling the collection rate for third-party buyers," International Journal of Forecasting, Elsevier, vol. 38(1), pages 240-252.
    2. Jérémy Leymarie & Christophe Hurlin & Antoine Patin, 2018. "Loss Functions for LGD Models Comparison," Post-Print hal-01923050, HAL.
    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. Kaposty, Florian & Kriebel, Johannes & Löderbusch, Matthias, 2020. "Predicting loss given default in leasing: A closer look at models and variable selection," International Journal of Forecasting, Elsevier, vol. 36(2), pages 248-266.
    5. Doho, Libaud Rudy Aurelien & Somé, Sobom Matthieu & Banto, Jean Michel, 2023. "Inflation and west African sectoral stock price indices: An asymmetric kernel method analysis," Emerging Markets Review, Elsevier, vol. 54(C).
    6. Natalia Nehrebecka, 2019. "Bank loans recovery rate in commercial banks: A case study of non-financial corporations," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 37(1), pages 139-172.
    7. Cheng, Dan & Cirillo, Pasquale, 2018. "A reinforced urn process modeling of recovery rates and recovery times," Journal of Banking & Finance, Elsevier, vol. 96(C), pages 1-17.
    8. Gourieroux, Christian & Lu, Yang, 2019. "Least impulse response estimator for stress test exercises," Journal of Banking & Finance, Elsevier, vol. 103(C), pages 62-77.
    9. Bart Keijsers & Bart Diris & Erik Kole, 2018. "Cyclicality in losses on bank loans," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(4), pages 533-552, June.
    10. Donker, Han & Ng, Alex & Shao, Pei, 2020. "Borrower distress and the efficiency of relationship banking," Journal of Banking & Finance, Elsevier, vol. 112(C).
    11. Jobst, Rainer & Kellner, Ralf & Rösch, Daniel, 2020. "Bayesian loss given default estimation for European sovereign bonds," International Journal of Forecasting, Elsevier, vol. 36(3), pages 1073-1091.
    12. 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.
    13. Raffaella Calabrese, 2012. "Modelling Downturn Loss Given Default," Working Papers 201226, Geary Institute, University College Dublin.
    14. Chen, Rongda & Zhou, Hanxian & Jin, Chenglu & Zheng, Wei, 2019. "Modeling of recovery rate for a given default by non-parametric method," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
    15. Chih-Kang Chu & Ruey-Ching Hwang, 2019. "Predicting Loss Distributions for Small-Size Defaulted-Debt Portfolios Using a Convolution Technique that Allows Probability Masses to Occur at Boundary Points," Journal of Financial Services Research, Springer;Western Finance Association, vol. 56(1), pages 95-117, August.
    16. Miller, Patrick & Töws, Eugen, 2018. "Loss given default adjusted workout processes for leases," Journal of Banking & Finance, Elsevier, vol. 91(C), pages 189-201.
    17. 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.
    18. 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.
    19. Salvatore D. Tomarchio & Antonio Punzo, 2019. "Modelling the loss given default distribution via a family of zero‐and‐one inflated mixture models," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 182(4), pages 1247-1266, October.
    20. Simone Varotto, 2010. "Stress Testing Credit Risk: The Great Depression Scenario," ICMA Centre Discussion Papers in Finance icma-dp2010-03, Henley Business School, University of Reading.
    21. Norden, Lars & van Kampen, Stefan, 2013. "Corporate leverage and the collateral channel," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5062-5072.
    22. Yuta Tanoue & Satoshi Yamashita & Hideaki Nagahata, 2020. "Comparison study of two-step LGD estimation model with probability machines," Risk Management, Palgrave Macmillan, vol. 22(3), pages 155-177, September.
    23. Thamayanthi Chellathurai, 2017. "Probability Density Of Recovery Rate Given Default Of A Firm’S Debt And Its Constituent Tranches," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(04), pages 1-34, June.
    24. Hwang, Ruey-Ching & Chu, Chih-Kang & Yu, Kaizhi, 2020. "Predicting LGD distributions with mixed continuous and discrete ordinal outcomes," International Journal of Forecasting, Elsevier, vol. 36(3), pages 1003-1022.
    25. Hurlin, Christophe & Leymarie, Jérémy & Patin, Antoine, 2018. "Loss functions for Loss Given Default model comparison," European Journal of Operational Research, Elsevier, vol. 268(1), pages 348-360.
    26. 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.
    27. Calabrese, Raffaella, 2014. "Downturn Loss Given Default: Mixture distribution estimation," European Journal of Operational Research, Elsevier, vol. 237(1), pages 271-277.
    28. 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.
    29. Janette Larney & Gerrit Lodewicus Grobler & James Samuel Allison, 2022. "Introducing Two Parsimonious Standard Power Mixture Models for Bimodal Proportional Data with Application to Loss Given Default," Mathematics, MDPI, vol. 10(23), pages 1-19, November.
    30. Krüger, Steffen & Rösch, Daniel, 2017. "Downturn LGD modeling using quantile regression," Journal of Banking & Finance, Elsevier, vol. 79(C), pages 42-56.
    31. 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.
    32. Nazemi, Abdolreza & Baumann, Friedrich & Fabozzi, Frank J., 2022. "Intertemporal defaulted bond recoveries prediction via machine learning," European Journal of Operational Research, Elsevier, vol. 297(3), pages 1162-1177.
    33. Ruey-Ching Hwang & Chih-Kang Chu & Kaizhi Yu, 2021. "Predicting the Loss Given Default Distribution with the Zero-Inflated Censored Beta-Mixture Regression that Allows Probability Masses and Bimodality," Journal of Financial Services Research, Springer;Western Finance Association, vol. 59(3), pages 143-172, June.
    34. 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.
    35. 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.
    36. 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.
    37. Bastos, João A., 2010. "Forecasting bank loans loss-given-default," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2510-2517, October.
    38. 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.
    39. Raffaella Calabrese, 2012. "Estimating bank loans loss given default by generalized additive models," Working Papers 201224, Geary Institute, University College Dublin.
    40. Tang, Qihe & Tang, Zhaofeng & Yang, Yang, 2019. "Sharp asymptotics for large portfolio losses under extreme risks," European Journal of Operational Research, Elsevier, vol. 276(2), pages 710-722.
    41. Sopitpongstorn, Nithi & Silvapulle, Param & Gao, Jiti & Fenech, Jean-Pierre, 2021. "Local logit regression for loan recovery rate," Journal of Banking & Finance, Elsevier, vol. 126(C).
    42. Arno Botha & Tanja Verster & Roelinde Bester, 2024. "The TruEnd-procedure: Treating trailing zero-valued balances in credit data," Papers 2404.17008, arXiv.org.
    43. 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.
    44. 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.
    45. 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.
    46. Nazemi, Abdolreza & Heidenreich, Konstantin & Fabozzi, Frank J., 2018. "Improving corporate bond recovery rate prediction using multi-factor support vector regressions," European Journal of Operational Research, Elsevier, vol. 271(2), pages 664-675.
    47. 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.
    48. Wolter, Marcus & Rösch, Daniel, 2014. "Cure events in default prediction," European Journal of Operational Research, Elsevier, vol. 238(3), pages 846-857.
    49. Raffaella Calabrese, 2012. "Regression Model for Proportions with Probability Masses at Zero and One," Working Papers 201209, Geary Institute, University College Dublin.
    50. 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.
    51. Anna Watson, 2019. "Financial Frictions, the Great Trade Collapse and International Trade over the Business Cycle," Open Economies Review, Springer, vol. 30(1), pages 19-64, February.
    52. Joseph L. Breeden, 2024. "An Age–Period–Cohort Framework for Profit and Profit Volatility Modeling," Mathematics, MDPI, vol. 12(10), pages 1-23, May.
    53. Tang, Qihe & Tong, Zhiwei & Yang, Yang, 2021. "Large portfolio losses in a turbulent market," European Journal of Operational Research, Elsevier, vol. 292(2), pages 755-769.
    54. 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.
    55. 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.
    56. Hibbeln, Martin & Gürtler, Marc, 2011. "Pitfalls in modeling loss given default of bank loans," Working Papers IF35V1, Technische Universität Braunschweig, Institute of Finance.
    57. 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.

  2. Anna M. Fiori & Michele Zenga, 2009. "Karl Pearson and the Origin of Kurtosis," International Statistical Review, International Statistical Institute, vol. 77(1), pages 40-50, April.

    Cited by:

    1. Eugene Seneta, 2009. "Karl Pearson in Russian Contexts," International Statistical Review, International Statistical Institute, vol. 77(1), pages 118-146, April.
    2. Anna Maria Fiori, 2020. "On firm size distribution: statistical models, mechanisms, and empirical evidence," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 29(3), pages 447-482, September.
    3. Yeboah Asuamah, Samuel, 2015. "An econometric modelling of government activities-total energy demand nexus for Ghana," MPRA Paper 83489, University Library of Munich, Germany.
    4. Perepolkin, Dmytro & Lindsröm, Erik & Sahlin, Ullrika, 2023. "Quantile-parameterized distributions for expert knowledge elicitation," OSF Preprints tq3an, Center for Open Science.
    5. Nicholas J. Cox, 2010. "Speaking Stata: The limits of sample skewness and kurtosis," Stata Journal, StataCorp LP, vol. 10(3), pages 482-495, September.
    6. Claudio Giovanni Borroni, 2009. "Understanding Karl Pearson's Influence on Italian Statistics in the Early 20th Century," International Statistical Review, International Statistical Institute, vol. 77(1), pages 81-95, April.
    7. Claudio Giovanni Borroni & Lucio De Capitani, 2022. "Some measures of kurtosis and their inference on large datasets," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 106(4), pages 573-607, December.
    8. J. Martin van Zyl, 2018. "An Empirical Study of the Behaviour of the Sample Kurtosis in Samples from Symmetric Stable Distributions," Papers 1811.00476, arXiv.org, revised Nov 2018.

  3. Claudio Borroni & Michele Zenga, 2007. "A test of concordance based on Gini’s mean difference," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 16(3), pages 289-308, November.

    Cited by:

    1. Gilbert Laffond & Jean Lainé & M. Remzi Sanver, 2020. "Metrizable preferences over preferences," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, vol. 55(1), pages 177-191, June.
    2. N. Nair & P. Sankaran & B. Vineshkumar, 2012. "Characterization of distributions by properties of truncated Gini index and mean difference," METRON, Springer;Sapienza Università di Roma, vol. 70(2), pages 173-191, August.
    3. Claudio Borroni, 2013. "A new rank correlation measure," Statistical Papers, Springer, vol. 54(2), pages 255-270, May.
    4. Claudio G. Borroni & D. Michele Cifarelli, 2016. "Some maximum-indifference estimators for the slope of a univariate linear model," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 28(2), pages 395-412, June.
    5. Salvatore Barbaro, 2021. "A social-choice perspective on authoritarianism and political polarization," Working Papers 2108, Gutenberg School of Management and Economics, Johannes Gutenberg-Universität Mainz.

  4. Anna Maria Fiori & Michele Zenga, 2005. "The meaning of kurtosis, the influence function and an early intuition by L. Faleschini," Statistica, Department of Statistics, University of Bologna, vol. 65(2), pages 135-144.

    Cited by:

    1. Anna M. Fiori & Michele Zenga, 2009. "Karl Pearson and the Origin of Kurtosis," International Statistical Review, International Statistical Institute, vol. 77(1), pages 40-50, April.

  5. Michele Zenga, 2001. "A multiplicative decomposition of Herfindahl concentration measure," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(1-2), pages 3-10.

    Cited by:

    1. Goetz, Martin R. & Laeven, Luc & Levine, Ross, 2016. "Does the geographic expansion of banks reduce risk?," Journal of Financial Economics, Elsevier, vol. 120(2), pages 346-362.
    2. Duijm, Patty & Schoenmaker, Dirk, 2021. "European banks straddling borders: Risky or rewarding?," Finance Research Letters, Elsevier, vol. 38(C).
    3. Michele Zenga, 2016. "On the decomposition by subpopulations of the point and synthetic Zenga (2007) inequality indexes," METRON, Springer;Sapienza Università di Roma, vol. 74(3), pages 375-405, December.

  6. Michele Zenga & Alessandro Zini, 2001. "A modification of the right tail for heavy-tailed income distributions," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3-4), pages 17-25.

    Cited by:

    1. Porcu, E. & Mateu, J. & Zini, A. & Pini, R., 2007. "Modelling spatio-temporal data: A new variogram and covariance structure proposal," Statistics & Probability Letters, Elsevier, vol. 77(1), pages 83-89, January.

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