The risk of a credit portfolio depends crucially on correlations between the prob- ability of default (PD) in different economic sectors. Often, PD correlations have to be estimated from relatively short time series of default rates, and the resulting estimation error hinders the detection of a...

In nonparametric curve estimation the decision about the type of smoothing parameter is critical for the practical performance. The nearest neighbor bandwidth as introduced by Gefeller and Dette 1992 for censored data in survival analysis is specified by one parameter, namely the number of...