Redesigning rating systems has been becoming an important issue for banks and other financial institutions in processing the implementation of the Basel II and III accords. The available data base for this task typically contains only the accepted credit applicants and is thus censored. To...

In financial mathematics stock prices are usually modeled directly as a result of supply and demand and under the assumption that dividends are paid continuously. In contrast economic theory gives us the dividend discount model assuming that the stock price equals the present value of its future...

Stuetzle and Mittal (1979) for ordinary nonparametric kernel regression and Kauermann and Tutz (1996) for nonparametric generalized linear model kernel regression constructed estimators with lower order bias than the usual estimators, without the need for devices such as second derivative...

The paper gives an overview on generalized linear models and its application in different branches of science. We introduce semiparametric extensions of the generalized linear model. One particular model of interest is the generalized partially linear model which allows a nonparametric modeling...

We discuss how to assess the performance for credit scores under the assumption that for credit data only a part of the defaults and nondefaults is observed. The paper introduces a criterion that is based on the difference of the score distributions under default and nondefault. We show how to...

A particular semiparametric model of interest is the generalized partial linear model (GPLM) which allows a nonparametric modeling of the influence of the continuous covariables. The paper reviews different estimation procedures based on kernel methods and test procedures on the correct...