有限样本下Anderson-Darling检验的有效性--应用于对手方信用风险内部模型的回溯检验
The efficiency of Anderson-Darling test with limited sample size: an application to Backtesting Counterparty Credit Risk internal model
摘要：
本文从理论和实证两方面对样本容量有限时的Anderson-Darling检验进行了评价。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。我们展示了这种测试的局限性，当回测的利率模型在很长一段时间内的分布，我们提出了一个修改后的版本的测试，能够更有效地检测模型的波动率的低估。最后我们提供了一个实证应用。
英文摘要：
This work presents a theoretical and empirical evaluation of Anderson-Darling test when the sample size is limited. The test can be applied in order to backtest the risk factors dynamics in the context of Counterparty Credit Risk modelling. We show the limits of such test when backtesting the distributions of an interest rate model over long time horizons and we propose a modified version of the test that is able to detect more efficiently an underestimation of the model's volatility. Finally we provide an empirical application.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
