Nonparametric estimation of the probability of default with double smoothing

DOI10.2436/20.8080.02.111MaRDI QIDQ5063389zbMATH OpenFDO

Authors Rebeca Peláez, Ricardo Cao, Juan Vilar

Publication date 21 March 2022

Full work available at URL https://doi.org/10.2436/20.8080.02.111

zbMATH Keywords

censored datakernel methodprobability of defaultrisk analysissurvival analysis

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Estimation in survival analysis and censored data (62N02) Applications of statistics to economics (62P20)

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Cites work

• Credit risk modeling based on survival analysis with immunes
• Financial survival analysis of defaulted debtors
• scientific article; zbMATH DE number 4001209 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Modelling consumer credit risk via survival analysis
• Probability of default estimation in credit risk using a nonparametric approach
• Strong representation of a generalized product-limit estimator for truncated and censored data with some applications
• Survival Analysis Methods for Personal Loan Data
• Transfer of tail information in censored regression models
• Uniform consistency of the kernel conditional Kaplan-Meier estimate

Cited in

(8)

• Probability of default estimation in credit risk using a nonparametric approach
• Nonparametric estimation of the conditional survival function with double smoothing
• Smoothed Parameter Estimation for a Hidden Markov Model of Credit Quality
• Probability of default estimation in credit risk using mixture cure models
• scientific article; zbMATH DE number 7736254 (Why is no real title available?)
• A two-step estimation procedure for semiparametric mixture cure models
• Cost-sensitive single-index classification model
• Nonparametric conditional survival function estimation and plug-in bandwidth selection with multiple covariates

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