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

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q-fin.ST2014

The Credibility Theory applied to backtesting Counterparty Credit Risk

Matteo Formenti

Credibility theory provides tools to obtain better estimates by combining individual data with sample information. We apply the Credibility theory to a Uniform distribution that is…