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Nonparametric Estimators for the Probability of Default

  • Jürgen Franke
  • Wolfgang Karl Härdle
  • Christian Matthias Hafner
Chapter
Part of the Universitext book series (UTX)

Abstract

The estimation of the probability of default based on information on the individual customer or the company is an important part of credit screening, i.e. judging the credit standing.

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Copyright information

© Springer Nature Switzerland AG 2019

Authors and Affiliations

  • Jürgen Franke
    • 1
  • Wolfgang Karl Härdle
    • 2
  • Christian Matthias Hafner
    • 3
  1. 1.Department of MathematicsTechnische Universität KaiserslauternKaiserslauternGermany
  2. 2.Ladislaus von Bortkiewicz Chair of StatisticsHumboldt-Universität BerlinBerlinGermany
  3. 3.Louvain Institute of Data Analysis and Modeling in Economics and StatisticsUCLouvainLouvain-la-NeuveBelgium

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