Abstract
To ensure accurate predictions of loss given default it is necessary to test the goodness-of-fit of the recovery rate data to the Beta distribution, assuming that its parameters are unknown. In the presence of unknown parameters, the Cramer-von Mises test statistic is neither asymptotically distribution free nor parameter free. In this paper, we propose to compute approximated critical values with a parametric bootstrap procedure. Some simulations show that the bootstrap procedure works well in practice. © Springer-Verlag Berlin Heidelberg 2006.
Cite
CITATION STYLE
Baixauli, J. S., & Alvarez, S. (2006). On the performance of recovery rate modeling. In Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics) (Vol. 3982 LNCS, pp. 1073–1080). Springer Verlag. https://doi.org/10.1007/11751595_112
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