A New goodness-of-fit test for event forecasting and its application to credit defaults

Management Science

Volumn 57, Issue 3, 2011, Pages 487-505

  Blöchlinger, Andreas ^a   Leippold, Markus ^b  

^a Cantonal Bank of Zurich   (Switzerland)

^b UNIVERSITY OF ZURICH   (Switzerland)

Author keywords

Bernoulli mixture models; Credit risk; Hosmer Lemeshow statistic; Out of sample validation; Probability calibration

Indexed keywords

CREDIT RISK; FORECASTING MODELS; FORMAL DEFINITION; GOODNESS-OF-FIT STATISTICS; GOODNESS-OF-FIT TEST; HOSMER-LEMESHOW STATISTIC; KOLMOGOROV-SMIRNOV TEST; LOW PROBABILITY; MIXTURE MODEL; OBSERVED DATA; OUT-OF-SAMPLE VALIDATION; PROBABILITY FORECASTS; SHAPE STATISTICS; SIMULATION EXERCISE; TWO-COMPONENT;

CALIBRATION; FORECASTING; RISK ASSESSMENT; STATISTICAL TESTS;

STATISTICS;

EID: 79952927757     PISSN: 00251909     EISSN: 15265501     Source Type: Journal    
DOI: 10.1287/mnsc.1100.1283     Document Type: Article

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