Estimación no paramétrica de la probabilidad de mora en riesgo de crédito

  1. Rebeca Peláez Suárez 1
  2. Ricardo Cao Abad dir.
  3. Juan M. Vilar Fernández dir.
  1. 1 Universidade da Coruña
    info

    Universidade da Coruña

    La Coruña, España

    ROR https://ror.org/01qckj285

Journal:
BEIO, Boletín de Estadística e Investigación Operativa

ISSN: 1889-3805

Year of publication: 2023

Volume: 39

Issue: 2

Pages: 67-72

Type: Article

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More publications in: BEIO, Boletín de Estadística e Investigación Operativa

Bibliographic References

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  • Cai, Z. 2003. “Weighted Local Linear Approach to Censored Nonparametric Regression.” In Recent Advances and Trends in Nonparametric Statistics, edited by Michael G. Akritas and Dimitris N. Politis, 217–31. Elsevier, Amsterdam.
  • López-Cheda, A., R. Cao, and M. A. Jácome. 2017. “Nonparametric Latency Estimation for Mixture Cure Models.” TEST 26 (2): 353–76.
  • López-Cheda, A., R. Cao, M. A. Jácome, and I. Van Keilegom. 2017. “Nonparametric Incidence Estimation and Bootstrap Bandwidth Selection in Mixture Cure Models.” Computational Statistics and Data Analysis 105 (12): 144–65.
  • Peláez, R., R. Cao, and J. M. Vilar. 2021a. “Nonparametric Estimation of Probability of Default with Double Smoothing.” SORT 45 (2): 93–120.
  • Peláez, R., R. Cao, and J. M. Vilar. 2021b. “Probability of Default Estimation in Credit Risk Using a Nonparametric Approach.” TEST 30 (2): 383–405.
  • Peláez, R., R. Cao, and J. M. Vilar. 2022a. “Bootstrap Bandwidth Selection and Confidence Regions for Double Smoothed Default Probability Estimation.” Mathematics 10 (9): 1523.
  • Peláez, R., R. Cao, and J. M. Vilar. 2022b. “Nonparametric Estimation of the Conditional Survival Function with Double Smoothing.” Journal of Nonparametric Statistics 34 (4): 1063–90.
  • Van Keilegom, I.and M. G. Akritas. 1999. “Transfer of Tail Information in Censored Regression Models.” The Annals of Statistics 27 (5): 1745–84.
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