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.