Personal Chair of Statistics and Data Science
Roles and Responsibilities
Professor Raffaella Calabrese is designing and delivering executive courses for the EU Supervisory Digital Finance Academy funded by the European Commission.
She has participated in several financial services consulting projects.
Background
Professor Raffaella Calabrese is an assessor for Innovate UK and ESRC.
She is Jean Monet Fellow at the European University Institute in Florence.
Raffaella is an expert in Climate Stress Testing, Open Banking, FinTech, credit risk modelling and access to finance for small businesses. She develops new analytical techniques for credit risk, such as scoring models, Loss Given Default, stress testing, interpretability, fairness and explainability. She collaborates with financial institutions, government bodies and regulators, across different countries, including the UK, the US, China and multiple EU countries. For example, she collaborates with the European Commission to come up with new approaches to measure the impact of climate change on the credit risk of small and medium enterprises in Europe. In addition to this, she advises UK Fintech companies how to take advantage of Open Banking.
She has been awarded more than 20 research projects, funded by the ESRC, EPSRC, British Academy, DataLab and private companies. She is currently
- leading the Inclusive Open Finance Passport project (£300k, IOG research hub),
- leading the Early Warning Signal Detection for Corporate risk project (£300k, Abdrn),
- leading the Open Finance Sandbox project (£200k, EFI),
- co-leading the project Understanding how constraints on access to finance and under-investment impact on productivity growth in smaller firms (£1.6 m, ESRC)
- researcher on the ESRC Business and Local Government Data Research Centre (£5.1 m, ESRC).
She is fortunate to have a research team consisting of four postdoctoral researchers and two PhD students:
Raffaella has more than 60 journal/conference publications across credit risk modelling, access to finance, financial inclusion and climate change. Her research appears in journals such as Risk Analysis (4*), British Journal of Management (4*), European Journal of Operational Research (4*), Journal of Banking and Finance (3*), Journal of Regional Science (3*), JRSS A (3*), Journal of Small Business Management (3*), Small Business Economics (3*), Expert Systems with Applications, Journal of Operational Research Society (3*), Regional Science and Urban Economics (3*) and European Journal of Finance (3*).
Research Interests
Her main research interests are:
- Climate Stress Testing
- Open Banking,
- FinTech,
- credit risk modelling (scoring models, Loss Given Default, stress testing, interpretability and fairness),
- the impact of climate change on credit risk,
- access to finance for small businesses,
- machine learning techniques,
- spatial econometrics.
Research Video
Raffaella Calabrese discusses her research on Open Banking, FinTech, credit risk modelling, and access to finance for small businesses.