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

Plank, Kilian ; Walter, Roland


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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