Probability of default estimation in credit risk using mixture cure models
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Probability of default estimation in credit risk using mixture cure modelsData
2024-01Cita bibliográfica
R. Peláez, I. Van Keilegom, R. Cao, and J. M. Vilar, "Probability of default estimation in credit risk using mixture cure models", Computational Statistics and Data Analysis, Vol. 189, 107853, Jan. 2024, doi: 10.1016/j.csda.2023.107853
Resumo
[Abstract]: An estimator of the probability of default (PD) in credit risk is proposed. It is derived from a nonparametric conditional survival function estimator based on cure models. Asymptotic expressions for the bias and the variance, as well as the asymptotic normality of the proposed estimator are presented. A simulation study shows the performance of the nonparametric estimator compared with Beran's PD estimator and other semiparametric methods. Finally, an empirical study based on modified real data illustrates the practical behaviour.
Palabras chave
Censored data
Kernel method
Nonparametric estimation
Survival analysis
Kernel method
Nonparametric estimation
Survival analysis
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Atribución-NoComercial 3.0 España