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The efficiency of the Anderson–Darling test with a limited sample size: an application to backtesting counterparty credit risk internal models
Journal of Risk ( IF 0.3 ) Pub Date : 2019-01-01 , DOI: 10.21314/jor.2019.415
Matteo Formenti , Luca Spadafora , Marcello Terraneo , Fabio Ramponi

This work presents a theoretical and empirical evaluation of the Anderson–Darling test when the sample size is limited. The test can be used to backtest risk factor dynamics in the context of counterparty credit risk modeling. We show the limits of the test when backtesting the distributions of an interest rate model over long time horizons, and we propose a modified version of it that can more efficiently detect the underestimation of a model’s volatility. Finally, we provide an empirical application.

中文翻译:

样本量有限的 Anderson-Darling 检验的效率:对交易对手信用风险内部模型进行回溯测试的应用

当样本量有限时,这项工作提出了对 Anderson-Darling 检验的理论和经验评估。该测试可用于在交易对手信用风险建模的背景下回测风险因素动态。我们在对长期利率模型的分布进行回溯测试时展示了测试的局限性,并且我们提出了它的修改版本,可以更有效地检测模型波动率的低估。最后,我们提供了一个经验应用。
更新日期:2019-01-01
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