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Papers by Elena Stanghellini
arXiv (Cornell University), Nov 17, 2022
In recent years, the context of the banking system,characterised by expansive monetary policies, ... more In recent years, the context of the banking system,characterised by expansive monetary policies, has boosted the investments in leveraged loans. The COVID-19 pandemic brought the first real slowdown of the global economy since the financial crisis of 2007-08, and the growth of the leveraged loan market has been subject to significant attention from the competent authorities. Banks have remained solid despite the adverse outlook, however, the banking landscape continues to be impacted by the uncertainty relating to the evolution of the pandemic. The original sample for this paper, made up of leveraged loans, combines instrument-specific information with information on financial borrowing and the composition of the syndicate of banks/lenders. The aim of the paper is to identify a systemic risk indicator that takes into account the concentration of credit risk within each bank. For this purpose, using an Mquantile regression, it is possible to obtain an indicator (Mquantile coefficient) for each bank that varies between 0 and 1, where higher values indicate the greater presence of risky leveraged loans in that specific bank. Combined with an indicator of loan sharing between banks, this also allows a graphical representation of the network of banks in this specific market.
arXiv (Cornell University), Jun 16, 2023
Journal of Educational and Behavioral Statistics, Oct 1, 2016
Unless strong assumptions are made, nonparametric identification of principal causal effects can ... more Unless strong assumptions are made, nonparametric identification of principal causal effects can only be partial and bounds (or sets) for the causal effects are established. In the presence of a secondary outcome, recent results exist to sharpen the bounds that exploit conditional independence assumptions. More general results, though not embedded in a causal framework, can be found in concentration graphical models with a latent variable. The aim of this article is to establish a link between the two settings and to show that adapting and extending results pertaining to concentration graphical models can help achieving identification of principal casual effects in studies when more than one additional outcome is available. Model selection criteria are also suggested. An empirical illustrative example is provided, using data from a real social experiment.
Capture-Recapture Methods for the Social and Medical Sciences, 2017
Riassunto In epidemiologia il controllo dei fattori di confondimento è di solito condotto nella f... more Riassunto In epidemiologia il controllo dei fattori di confondimento è di solito condotto nella fase di analisi statistica dei dati. Questa prevede la stratificazione (quando il numero di confondenti è limitato) o l’uso di modelli di regressione. Questa strategia tuttavia non è facilmente estendibile al caso in cui si vogliano analizzare più variabili di risposta contemporaneamente. Un esempio è quello dei disturbi respiratori (sintomi asmatici e/o sintomi bronchitici) rispetto a fattori individuali, sociali e ambientali (inquinanti indoor e/o outdoor), un altro riguarda studi longitudinali sugli esiti (in termini di psicopatologia, disabilità sociale, capacità relazionale) in epidemiologia psichiatrica. Il presente lavoro passa in rassegna i metodi di analisi usati per questo tipo di dati e illustra una nuova classe di modelli di regressione per risposte multivariate. (Epidemiol Prev 2001; 25: 83-89)
Journal of Statistical Planning and Inference, Oct 1, 2011
Statistics & Probability Letters, Apr 1, 2008
Unitext, 2009
Questo capitolo vuole introduire il lettore al modello logistico nell’ambito del credit scoring. ... more Questo capitolo vuole introduire il lettore al modello logistico nell’ambito del credit scoring. La distribuzione di interesse e quella della variabile casuale di classificazione, che qui indicheremo con Y, condizionata ai valori x = (x1, x2, ..., x p ) delle variabili esplicative. In questo contesto, il modello logistico e una funzione che lega lo score s(x), introdotto nel primo capitolo, alle esplicative x, in una forma che, come vedremo in dettaglio, e lineare nei parametri.
Statistical Modelling, Aug 1, 2011
Scandinavian Journal of Statistics, Mar 1, 2003
RePEc: Research Papers in Economics, May 2, 2013
arXiv (Cornell University), Nov 1, 2018
ABSTRACT We state a sufficient condition for the global identification of a single-factor model w... more ABSTRACT We state a sufficient condition for the global identification of a single-factor model when some conditional associations among residuals are allowed The condition relies on the structure of the conditional independence graph of the observed variable given the latent factor, and can be derived using graphical rules.
Social Science Research Network, 2014
arXiv (Cornell University), Nov 17, 2022
In recent years, the context of the banking system,characterised by expansive monetary policies, ... more In recent years, the context of the banking system,characterised by expansive monetary policies, has boosted the investments in leveraged loans. The COVID-19 pandemic brought the first real slowdown of the global economy since the financial crisis of 2007-08, and the growth of the leveraged loan market has been subject to significant attention from the competent authorities. Banks have remained solid despite the adverse outlook, however, the banking landscape continues to be impacted by the uncertainty relating to the evolution of the pandemic. The original sample for this paper, made up of leveraged loans, combines instrument-specific information with information on financial borrowing and the composition of the syndicate of banks/lenders. The aim of the paper is to identify a systemic risk indicator that takes into account the concentration of credit risk within each bank. For this purpose, using an Mquantile regression, it is possible to obtain an indicator (Mquantile coefficient) for each bank that varies between 0 and 1, where higher values indicate the greater presence of risky leveraged loans in that specific bank. Combined with an indicator of loan sharing between banks, this also allows a graphical representation of the network of banks in this specific market.
arXiv (Cornell University), Jun 16, 2023
Journal of Educational and Behavioral Statistics, Oct 1, 2016
Unless strong assumptions are made, nonparametric identification of principal causal effects can ... more Unless strong assumptions are made, nonparametric identification of principal causal effects can only be partial and bounds (or sets) for the causal effects are established. In the presence of a secondary outcome, recent results exist to sharpen the bounds that exploit conditional independence assumptions. More general results, though not embedded in a causal framework, can be found in concentration graphical models with a latent variable. The aim of this article is to establish a link between the two settings and to show that adapting and extending results pertaining to concentration graphical models can help achieving identification of principal casual effects in studies when more than one additional outcome is available. Model selection criteria are also suggested. An empirical illustrative example is provided, using data from a real social experiment.
Capture-Recapture Methods for the Social and Medical Sciences, 2017
Riassunto In epidemiologia il controllo dei fattori di confondimento è di solito condotto nella f... more Riassunto In epidemiologia il controllo dei fattori di confondimento è di solito condotto nella fase di analisi statistica dei dati. Questa prevede la stratificazione (quando il numero di confondenti è limitato) o l’uso di modelli di regressione. Questa strategia tuttavia non è facilmente estendibile al caso in cui si vogliano analizzare più variabili di risposta contemporaneamente. Un esempio è quello dei disturbi respiratori (sintomi asmatici e/o sintomi bronchitici) rispetto a fattori individuali, sociali e ambientali (inquinanti indoor e/o outdoor), un altro riguarda studi longitudinali sugli esiti (in termini di psicopatologia, disabilità sociale, capacità relazionale) in epidemiologia psichiatrica. Il presente lavoro passa in rassegna i metodi di analisi usati per questo tipo di dati e illustra una nuova classe di modelli di regressione per risposte multivariate. (Epidemiol Prev 2001; 25: 83-89)
Journal of Statistical Planning and Inference, Oct 1, 2011
Statistics & Probability Letters, Apr 1, 2008
Unitext, 2009
Questo capitolo vuole introduire il lettore al modello logistico nell’ambito del credit scoring. ... more Questo capitolo vuole introduire il lettore al modello logistico nell’ambito del credit scoring. La distribuzione di interesse e quella della variabile casuale di classificazione, che qui indicheremo con Y, condizionata ai valori x = (x1, x2, ..., x p ) delle variabili esplicative. In questo contesto, il modello logistico e una funzione che lega lo score s(x), introdotto nel primo capitolo, alle esplicative x, in una forma che, come vedremo in dettaglio, e lineare nei parametri.
Statistical Modelling, Aug 1, 2011
Scandinavian Journal of Statistics, Mar 1, 2003
RePEc: Research Papers in Economics, May 2, 2013
arXiv (Cornell University), Nov 1, 2018
ABSTRACT We state a sufficient condition for the global identification of a single-factor model w... more ABSTRACT We state a sufficient condition for the global identification of a single-factor model when some conditional associations among residuals are allowed The condition relies on the structure of the conditional independence graph of the observed variable given the latent factor, and can be derived using graphical rules.
Social Science Research Network, 2014