A Doubly Smoothed PD Estimator in Credit Risk
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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2020-09-01
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| Series: | Proceedings |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2504-3900/54/1/55 |