Probability of default estimation in credit risk using mixture cure models

DOI10.1016/J.CSDA.2023.107853MaRDI QIDQ6071708zbMATH OpenFDO

Authors Rebeca Peláez Suárez, Ingrid Van Keilegom, Ricardo Cao, Juan Vilar

Publication date 28 November 2023

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

Full work available at URL https://doi.org/10.1016/J.CSDA.2023.107853

zbMATH Keywords

censored datakernel methodnonparametric estimationsurvival analysis

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

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Cites work

• A bootstrap approach to nonparametric regression for right censored data
• An Akaike information criterion for multiple event mixture cure models
• Bootstrapping the mean integrated squared error
• Credit risk modeling based on survival analysis with immunes
• Estimation in a Cox Proportional Hazards Cure Model
• Financial survival analysis of defaulted debtors
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Maximum likelihood estimation for conditional distribution single-index models under censoring
• Modelling consumer credit risk via survival analysis
• Nonparametric cure rate estimation with covariates
• Nonparametric Estimation from Incomplete Observations
• Nonparametric estimation of the probability of default with double smoothing
• Nonparametric incidence estimation and bootstrap bandwidth selection in mixture cure models
• Nonparametric latency estimation for mixture cure models
• Probability of default estimation in credit risk using a nonparametric approach
• Standard errors for the Cox proportional hazard cure model
• Strong representation of a generalized product-limit estimator for truncated and censored data with some applications
• Survival Analysis Methods for Personal Loan Data
• Uniform consistency of the kernel conditional Kaplan-Meier estimate

Cited in

(2)

• Regression estimation using surrogate responses obtained by presmoothing
• Nonparametric conditional survival function estimation and plug-in bandwidth selection with multiple covariates

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