Modelling consumer credit risk via survival analysis

zbMATH Open1274.91454MaRDI QIDQ3645285FDOQ3645285

Authors: Ricardo Cao, Juan Vilar, A. Devia

Publication date: 16 November 2009

Full work available at URL: https://eudml.org/doc/43039

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nonparametric regression Basel II generalized product-limit estimator probability of default conditional survival function

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Censored data models (62N01) Applications of statistics to economics (62P20) Credit risk (91G40)

Cited In (40)

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