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Nonparametric probability of default estimation in presence of cure fraction

4 pagesPublished: February 16, 2023

Abstract

An estimator of the probability of default (PD) in credit risk is proposed. It is based on a nonparametric conditional survival function estimator for mixture cure models. Asymp- totic properties of the proposed estimator are proved. A simulation study shows the per- formance of the nonparametric estimator compared with other semiparametric methods. A real data analysis illustrates the practical behaviour.

Keyphrases: censored data, kernel method, nonparametric estimation, survival analysis

In: Alvaro Leitao and Lucía Ramos (editors). Proceedings of V XoveTIC Conference. XoveTIC 2022, vol 14, pages 17-20.

BibTeX entry
@inproceedings{XoveTIC2022:Nonparametric_probability_default_estimation,
  author    = {Rebeca Pelaez and Ingrid Van Keilegom and Ricardo Cao and Juan Manuel Vilar},
  title     = {Nonparametric probability of default estimation in presence of cure fraction},
  booktitle = {Proceedings of V XoveTIC Conference. XoveTIC 2022},
  editor    = {Alvaro Leitao and Lucía Ramos},
  series    = {Kalpa Publications in Computing},
  volume    = {14},
  publisher = {EasyChair},
  bibsource = {EasyChair, https://easychair.org},
  issn      = {2515-1762},
  url       = {/publications/paper/r9Dn},
  doi       = {10.29007/1j1h},
  pages     = {17-20},
  year      = {2023}}
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