Showing 1 - 3 of 3
Persistent link: https://www.econbiz.de/10012065296
This work presents a theoretical and empirical evaluation of the Anderson-Darling test when the sample size is limited. The test can be applied in order to back-test the risk factor dynamics in the context of counterparty credit risk modelling. We show the limits of this test when back-testing...
Persistent link: https://www.econbiz.de/10012926614
Persistent link: https://www.econbiz.de/10012117481