Browsing GI-MODES - Artigos by Author "Peláez, Rebeca"
Now showing items 1-4 of 4
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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 prediction regions for daily curves of electricity demand and price using functional data
Peláez, Rebeca; Aneiros Pérez, Germán; Vilar, Juan M. (Elsevier, 2024-11)[Abstract]: The aim of this paper is to compute one-day-ahead prediction regions for daily curves of electricity demand and price. Three model-based procedures to construct general prediction regions are proposed, all of ... -
Nonparametric estimation of the probability of default with double smoothing
Peláez, Rebeca; Cao, Ricardo; Vilar, Juan M. (Institut d'Estadistica de Catalunya, 2021)[Abstract]: In this paper, a general nonparametric estimator of the probability of default is proposed and studied. It is derived from an estimator of the conditional survival function for censored data obtained with a ... -
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 ...
