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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Bibliographic Details
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:
Online Access:https://www.mdpi.com/2504-3900/54/1/55

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