2026-04-13T01:16:03Zhttps://recercat.cat/oai/requestoai:recercat.cat:2072/4576502024-11-01T00:43:35Zcom_2072_98col_2072_378192
2024-11-01T00:43:35Z
urn:hdl:2072/457650
Nonparametric estimation of the probability of default with double smoothing
Peláez, Rebeca
Cao, Ricardo
Vilar, Juan M.
Censored data
Kernel method
Probability of default
Risk analysis
Survival analysis
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 double smoothing, on the covariate and on the variable of interest. An empirical study, based on modified real data, illustrates its practical application and a simulation study shows the performance of the proposed estimator and compares its behaviour with smoothed estimators only in the covariate. Asymptotic expressions for the bias and the variance of the probability of default estimator are found and asymptotic normality is proved.
2024-11-01T00:43:35Z
2024-11-01T00:43:35Z
2021
Article
http://hdl.handle.net/2072/457650
;
SORT : statistics and operations research transactions ; Vol. 45 Núm. 2 (July-December 2021), p. 93-120
open access
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