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Evaluation of Credit Portfolio Models: Test Statistics for Density-Based Tests

Plank, Kilian and Walter, Roland (2010) Evaluation of Credit Portfolio Models: Test Statistics for Density-Based Tests. Journal of Risk. (In Press)

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Abstract

Credit portfolio model validation is an important and still neglected research area. Given that credit defaults are typically rare events density-based tests as suggested by Berkowitz (2001) seem to be the best choice in terms of statistical power. Although there are several alternatives the commonly chosen test statistic is the likelihood ratio. In this article we compare its power ...

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Item Type:Article
Date:1 September 2010
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Entpflichtete oder im Ruhestand befindliche Professoren > Lehrstuhl für Statistik (Prof. Dr. Alfred Hamerle)
Research groups and research centres:Not selected
Keywords:Validation; Portfolio Model; Basel II; Berkowitz; Density Tests
Subjects:300 Social sciences > 330 Economics
Status:In Press
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Yes
Owner: Kilian Plank
Deposited On:04 Oct 2010 09:32
Last Modified:04 Oct 2010 12:44
Item ID:16911
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