英文标题：
《Mean of Ratios or Ratio of Means: statistical uncertainty applied to
  estimate Multiperiod Probability of Defaul》
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作者：
Matteo Formenti
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最新提交年份：
2014
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英文摘要：
  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, or aggregating the default and the issued mortgages and computing the ratio of their sum, that is the Ratio of means. This work studies the statistical properties of the two estimators with the result that the Ratio of means has a lower statistical uncertainty. The application on a private residential mortgage portfolio leads to a lower probability of default on the overall portfolio by eleven basis points.
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中文摘要：
应用于住宅抵押贷款的多期违约概率估计值可以使用观察到的违约平均值，即比率平均值估计器，或将违约和已发行抵押贷款相加，并计算其总和的比率，即平均比率。本文研究了这两种估计量的统计性质，结果表明均值比具有较低的统计不确定性。对私人住宅抵押贷款组合的应用导致整体组合违约概率降低11个基点。
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分类信息：

一级分类：Statistics        统计学
二级分类：Applications        应用程序
分类描述：Biology, Education, Epidemiology, Engineering, Environmental Sciences, Medical, Physical Sciences, Quality Control, Social Sciences
生物学，教育学，流行病学，工程学，环境科学，医学，物理科学，质量控制，社会科学
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一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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