Nonparametric Estimators for the Probability of Default

  • Jürgen Franke
  • Wolfgang Härdle
  • Christian M. Hafner
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. It is essential for the establishment of a rating or for measuring credit risk to estimate the probability that a company will end in financial difficulties within a given period of, for example, one year. Also here nonparametric applications prove to be flexible tools in estimating the desired default probability without arbitrary assumptions. In this chapter we will give a brief overview of the various approaches for non- and semiparametric estimates of conditional probabilities.

Keywords

Estima 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2004

Authors and Affiliations

  • Jürgen Franke
    • 1
  • Wolfgang Härdle
    • 2
  • Christian M. Hafner
    • 3
  1. 1.University of KaiserslauternKaiserslauternGermany
  2. 2.CASE-Center for Applied Statistics and EconomicsHumboldt-Universität zu BerlinBerlinGermany
  3. 3.Econometric Institute, Faculty of EconomicsErasmus University RotterdamRotterdamThe Netherlands

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