Probability of default estimation in credit risk using a nonparametric approach

• Rebeca Peláez Suárez ^[1] ; Ricardo Cao Abad ^[1] ; Juan M. Vilar Fernández ^[1]
  1. [1] Universidade da Coruña

     Universidade da Coruña

     A Coruña, España

     
• Localización: Test: An Official Journal of the Spanish Society of Statistics and Operations Research, ISSN-e 1863-8260, ISSN 1133-0686, Vol. 30, Nº. 2, 2021, págs. 383-405
• Idioma: inglés
• DOI: 10.1007/s11749-020-00723-1
• Texto completo no disponible (Saber más ...)
• Resumen

  • In this paper, four nonparametric estimators of the probability of default in credit risk are proposed and compared. They are derived from estimators of the conditional survival function for censored data. Asymptotic expressions for the bias and the variance of these probability of default estimators are derived from similar properties for the conditional survival function estimators. A simulation study shows the performance of these four estimators. Finally, an empirical study based on modified real data illustrates their practical behaviour.