Nonparametric probability of default estimation in presence of cure fraction

4 pages•Published: February 16, 2023

Rebeca Pelaez, Ingrid Van Keilegom, Ricardo Cao and Juan Manuel Vilar

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.

Links:	https://easychair.org/publications/paper/r9Dn
	https://doi.org/10.29007/1j1h

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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