A Doubly Smoothed PD Estimator in Credit Risk

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...

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Main Authors: Rebeca Peláez Suárez, Ricardo Cao Abad, Juan M. Vilar Fernández
Format: Article
Language:English
Published: MDPI AG 2020-09-01
Series:Proceedings
Subjects:
probability of default
risk analysis
censored data
survival analysis
nonparametric estimation
kernel estimation
Online Access:https://www.mdpi.com/2504-3900/54/1/55
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spelling doaj-5270b79938e54981bddda4219cfcdcb02020-11-25T03:18:13ZengMDPI AGProceedings2504-39002020-09-0154555510.3390/proceedings2020054055A Doubly Smoothed PD Estimator in Credit RiskRebeca Peláez Suárez0Ricardo Cao Abad1Juan M. Vilar Fernández2Research Group MODES, Department of Mathematics, CITIC, University of A Coruña, 15001 A Coruña, SpainResearch Group MODES, Department of Mathematics, CITIC, University of A Coruña and ITMATI, 15782 A Coruña, SpainResearch Group MODES, Department of Mathematics, CITIC, University of A Coruña and ITMATI, 15782 A Coruña, SpainIn 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 conclude that the time variable smoothing reduce the error committed in the PD estimation.https://www.mdpi.com/2504-3900/54/1/55probability of defaultrisk analysiscensored datasurvival analysisnonparametric estimationkernel estimation
collection DOAJ
language English
format Article
sources DOAJ
author Rebeca Peláez Suárez
Ricardo Cao Abad
Juan M. Vilar Fernández
spellingShingle Rebeca Peláez Suárez
Ricardo Cao Abad
Juan M. Vilar Fernández
A Doubly Smoothed PD Estimator in Credit Risk
Proceedings
probability of default
risk analysis
censored data
survival analysis
nonparametric estimation
kernel estimation
author_facet Rebeca Peláez Suárez
Ricardo Cao Abad
Juan M. Vilar Fernández
author_sort Rebeca Peláez Suárez
title A Doubly Smoothed PD Estimator in Credit Risk
title_short A Doubly Smoothed PD Estimator in Credit Risk
title_full A Doubly Smoothed PD Estimator in Credit Risk
title_fullStr A Doubly Smoothed PD Estimator in Credit Risk
title_full_unstemmed A Doubly Smoothed PD Estimator in Credit Risk
title_sort doubly smoothed pd estimator in credit risk
publisher MDPI AG
series Proceedings
issn 2504-3900
publishDate 2020-09-01
description 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 conclude that the time variable smoothing reduce the error committed in the PD estimation.
topic probability of default
risk analysis
censored data
survival analysis
nonparametric estimation
kernel estimation
url https://www.mdpi.com/2504-3900/54/1/55
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AT juanmvilarfernandez adoublysmoothedpdestimatorincreditrisk
AT rebecapelaezsuarez doublysmoothedpdestimatorincreditrisk
AT ricardocaoabad doublysmoothedpdestimatorincreditrisk
AT juanmvilarfernandez doublysmoothedpdestimatorincreditrisk
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