A Doubly Smoothed PD Estimator in Credit Risk
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http://hdl.handle.net/2183/26630
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A Doubly Smoothed PD Estimator in Credit RiskData
2020-09-01Cita bibliográfica
Suárez, R.P.; Abad, R.C.; Fernández, J.M.V. A Doubly Smoothed PD Estimator in Credit Risk. Proceedings 2020, 54, 55. https://doi.org/10.3390/proceedings2020054055
Resumo
[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 estimators are proved and their behaviour is analyzed by simulation. The results allow us to conclude that the time variable smoothing reduce the error committed in the PD estimation.
Palabras chave
Probability of default
Risk analysis
Censored data
Survival analysis
Nonparametric estimation
Kernel estimation
Risk analysis
Censored data
Survival analysis
Nonparametric estimation
Kernel estimation
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Atribución 4.0 Internacional
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2504-3900