In this paper, four nonparametric estimators of the probability of default in credit risk are proposed and compared. They are derived from estimators of the conditional survival function for censored data. Asymptotic expressions for the bias and the variance of these probability of default estimators are derived from similar properties for the conditional survival function estimators. A simulation study shows the performance of these four estimators. Finally, an empirical study based on modified real data illustrates their practical behaviour.

中文翻译：

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使用非参数方法的信用风险违约估计的概率

本文提出并比较了信用风险违约概率的四个非参数估计量。它们来自受审查数据的条件生存函数的估计量。这些缺省估计量概率的偏差和方差的渐近表达式是从条件生存函数估计量的相似属性中得出的。仿真研究显示了这四个估计器的性能。最后，基于修改后的真实数据进行的实证研究说明了它们的实际行为。