Probability of default estimation in credit risk using mixture cure models

Rebeca Peláez, Ingrid Van Keilegom, Ricardo Cao and Juan M. Vilar

Computational Statistics & Data Analysis, 2024, vol. 189, issue C

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 and the variance, as well as the asymptotic normality of the proposed estimator are presented. A simulation study shows the performance of the nonparametric estimator compared with Beran's PD estimator and other semiparametric methods. Finally, an empirical study based on modified real data illustrates the practical behaviour.

Keywords: Censored data; Survival analysis; Nonparametric estimation; Kernel method (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:189:y:2024:i:c:s0167947323001640

DOI: 10.1016/j.csda.2023.107853

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