most citedMean of Ratios or Ratio of Means: statistical uncertainty applied to estimate Multiperiod Probability of Defaul

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stat.AP2014★ 2 cited

Mean of Ratios or Ratio of Means: statistical uncertainty applied to estimate Multiperiod Probability of Defaul

Matteo Formenti

The estimate of a Multiperiod probability of default applied to residential mortgages can be obtained using the mean of the observed default, so called the Mean of ratios estimator…