Listar por autor "Peláez, Rebeca"

Mostrando ítems 1-5 de 5

    • A Doubly Smoothed PD Estimator in Credit Risk 

      Peláez, Rebeca; Cao, Ricardo; Vilar, Juan M. (MDPI AG, 2020-09-01)
      [Abstract] In this work a doubly smoothed probability of default (PD) estimator is proposed based on a smoothed version of the survival Beran’s estimator. The asymptotic properties of both the smoothed survival and PD ...

    • Bootstrap Bandwidth Selection and Confidence Regions for Double Smoothed Default Probability Estimation 

      Peláez, Rebeca; Cao, Ricardo; Vilar, Juan M. (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 ...

    • Bootstrap Selector for the Smoothing Parameter of Beran’s Estimator 

      Peláez, Rebeca; Cao, Ricardo; Vilar, Juan M. (MDPI, 2021)
      [Abstract] This work proposes a resampling technique to approximate the smoothing parameter of Beran’s estimator. It is based on resampling by the smoothed bootstrap and minimising the bootstrap approximation of the mean ...

    • Nonparametric estimation of the probability of default in credit risk. 

      Peláez, Rebeca (2022)
      [Abstract] Financial institutions are interested in knowing the probability that their clients declare themselves unable to pay the debts incurred by granting a credit. The aim of this work is to propose models to estimate ...

    • Probability of default estimation in credit risk using mixture cure models 

      Peláez, Rebeca; Keilegom, Ingrid Van; Cao, Ricardo; Vilar, Juan M. (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 ...