Hamerle, Alfred and Plank, Kilian (2009) A note on the Berkowitz test with discrete distributions. JOURNAL OF RISK MODEL VALIDATION, 3 (2). pp. 3-10. ISSN 1753-9579,
Full text not available from this repository. (Request a copy)Abstract
Berkowitz (2001) suggested a powerful and popular density test based on a probability integral transformation. For the probability integral transformation to work properly the original distribution needs to be continuous. In this paper we show the problems that can arise when the procedure is applied to discrete distributions. We suggest a simple modification so that the basic assumptions of the Berkowitz test are recovered.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | CREDIT RISK MODELS; |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Entpflichtete oder im Ruhestand befindliche Professoren > Lehrstuhl für Statistik (Prof. Dr. Alfred Hamerle) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 14 Sep 2020 07:53 |
| Last Modified: | 14 Sep 2020 07:53 |
| URI: | https://pred.uni-regensburg.de/id/eprint/28898 |
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