A Doubly Smoothed PD Estimator in Credit Risk

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UDC.coleccionInvestigaciónes_ES
UDC.conferenceTitle3rd XoveTIC Conference; A Coruña, Spain; 8–9 October 2020es_ES
UDC.departamentoMatemáticases_ES
UDC.grupoInvModelización, Optimización e Inferencia Estatística (MODES)es_ES
UDC.issue1es_ES
UDC.journalTitleProceedingses_ES
UDC.startPage55es_ES
UDC.volume54es_ES
dc.contributor.authorPeláez, Rebeca
dc.contributor.authorCao, Ricardo
dc.contributor.authorVilar, Juan M.
dc.date.accessioned2020-11-03T15:47:30Z
dc.date.available2020-11-03T15:47:30Z
dc.date.issued2020-09-01
dc.description.abstract[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.es_ES
dc.description.sponsorshipThis research has been supported by MINECO Grant MTM2017-82724-R, and by the Xunta de Galicia (Grupos de Referencia Competitiva ED431C-2016-015 and Centro Singular de Investigación de Galicia ED431G/01), all of them through the ERDFes_ES
dc.description.sponsorshipXunta de Galicia; ED431C-2016-015es_ES
dc.description.sponsorshipXunta de Galicia; ED431G/01es_ES
dc.identifier.citationSuárez, 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/proceedings2020054055es_ES
dc.identifier.doi10.3390/proceedings2020054055
dc.identifier.issn2504-3900
dc.identifier.urihttp://hdl.handle.net/2183/26630
dc.language.isoenges_ES
dc.publisherMDPI AGes_ES
dc.relation.projectIDinfo:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2017-2020/MTM2017-82724-R/ES/INFERENCIA ESTADISTICA FLEXIBLE PARA DATOS COMPLEJOS DE GRAN VOLUMEN Y DE ALTA DIMENSION
dc.relation.urihttps://doi.org/10.3390/proceedings2020054055es_ES
dc.rightsAtribución 4.0 Internacionales_ES
dc.rights.accessRightsopen accesses_ES
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/*
dc.subjectProbability of defaultes_ES
dc.subjectRisk analysises_ES
dc.subjectCensored dataes_ES
dc.subjectSurvival analysises_ES
dc.subjectNonparametric estimationes_ES
dc.subjectKernel estimationes_ES
dc.titleA Doubly Smoothed PD Estimator in Credit Riskes_ES
dc.typeconference outputes_ES
dspace.entity.typePublication
relation.isAuthorOfPublication3360aaca-39be-43b4-a458-974e79cdbc6b
relation.isAuthorOfPublication8266f7ba-97e2-451f-9c0a-5501266378e0
relation.isAuthorOfPublication.latestForDiscovery3360aaca-39be-43b4-a458-974e79cdbc6b

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