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Bootstrap Bandwidth Selection and Confidence Regions for Double Smoothed Default Probability Estimation
(MDPI, 2022)
[Abstract] For a fixed time, t, and a horizon time, b, the probability of default (PD) measures the probability that an obligor, that has paid his/her credit until time t, runs into arrears not later that time t+b. This ...
Cost-sensitive thresholding over a two-dimensional decision region for fraud detection
(Elsevier B.V., 2024-02)
[Absctract]: Credit fraud poses a challenging task in terms of detection. It can result in significant losses depending on the amount, so a cost-sensitive perspective needs to be taken. Classical approaches focus on ...
Probability of default estimation in credit risk using mixture cure models
(Elsevier, 2024-01)
[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 ...