4.7 Article

Bootstrap Bandwidth Selection and Confidence Regions for Double Smoothed Default Probability Estimation

Related references

Note: Only part of the references are listed.
Article Statistics & Probability

Probability of default estimation in credit risk using a nonparametric approach

Rebeca Pelaez Suarez et al.

Summary: This paper proposes and compares four nonparametric estimators of default probability in credit risk, derived from estimators of the conditional survival function for censored data. The performance of these estimators is demonstrated through simulation and empirical studies.
Article Business, Finance

Robust and consistent estimation of generators in credit risk

G. dos Reis et al.

QUANTITATIVE FINANCE (2018)

Article Mathematical & Computational Biology

Conditional copula models for right-censored clustered event time data

Candida Geerdens et al.

BIOSTATISTICS (2018)

Article Statistics & Probability

Maximum likelihood estimation for conditional distribution single-index models under censoring

Ewa Strzalkowska-Kominiak et al.

JOURNAL OF MULTIVARIATE ANALYSIS (2013)

Article Biochemical Research Methods

A random effect multiplicative heteroscedastic model for bacterial growth

Ricardo Cao et al.

BMC BIOINFORMATICS (2010)

Article Management

Financial survival analysis of defaulted debtors

L. N. Allen et al.

JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY (2006)

Article Business, Finance

Measuring the default risk of small business loans: A survival analysis approach

D Glennon et al.

JOURNAL OF MONEY CREDIT AND BANKING (2005)

Article Mathematics, Interdisciplinary Applications

Smooth conditional distribution function and quantiles under random censorship

E Leconte et al.

LIFETIME DATA ANALYSIS (2002)

Article Statistics & Probability

A bootstrap approach to nonparametric regression for right censored data

G Li et al.

ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS (2001)