Applications of survival analysis to credit risk modelling

• Autores: Ricardo Cao Abad , Andrés Devia Rivera, Juan Manuel Vilar Fernández
• Localización: XXXI Congreso Nacional de Estadística e Investigación Operativa ; V Jornadas de Estadística Pública: Murcia, 10-13 de febrero de 2009 : Libro de Actas, 2009, ISBN 978-84-691-8159-1
• Idioma: inglés
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• Resumen

  • In this paper it has been applied survival analysis methods to credit risk modelling.

    The analysis developed here is related to the measurement of the banking credit risk via the construction of statistical models to estimate the probability of default (PD) in the case of an individual consumer credit. Three methods to estimate the individual PD have been proposed here, a semiparametric probability model, a generalized linear model, and a nonparametric conditional model with kernel type smoothing. All the models have been studied under the scope of random right censoring. As a result, asymptotic properties like the uniform consistency and the asymptotic normality for the nonparametric estimator of the PD have been obtained.