Probability of default estimation in credit risk using a nonparametric approach

DOI10.1007/S11749-020-00723-1zbMath1474.62371OpenAlexW3040463880MaRDI QIDQ2666053

Ricardo Cao Abad, Rebeca Peláez Suárez, Juan M. Vilar Fernández

Publication date: 22 November 2021

Published in: Test (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11749-020-00723-1

zbMATH Keywords

risk analysissurvival analysiskernel methodprobability of defaultlocal lineal fit

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Estimation in survival analysis and censored data (62N02) Credit risk (91G40)

Related Items (3)

Nonparametric estimation of the conditional survival function with double smoothing ⋮ Probability of default estimation in credit risk using mixture cure models ⋮ Unnamed Item

Uses Software

• survival

Cites Work

• Unnamed Item
• Nonparametric incidence estimation and bootstrap bandwidth selection in mixture cure models
• Nonparametric latency estimation for mixture cure models
• Uniform consistency of the kernel conditional Kaplan-Meier estimate
• Transfer of tail information in censored regression models
• Financial survival analysis of defaulted debtors
• Strong representation of a generalized product-limit estimator for truncated and censored data with some applications
• Comparison of kernel estimators of conditional distribution function and quantile regression under censoring
• Estimation of the conditional distribution in regression with censored data: a comparative study.

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