2 citations · 2 across the 3 of their papers we have counts for
3 papers
q-fin.RM2015
The efficiency of Anderson-Darling test with limited sample size: an application to Backtesting Counterparty Credit Risk internal model
M. Formenti, L. Spadafora, M. Terraneo +1
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 dy…
stat.AP2014★ 2 cited
Mean of Ratios or Ratio of Means: statistical uncertainty applied to estimate Multiperiod Probability of Defaul
Matteo Formenti
The estimate of a Multiperiod probability of default applied to residential mortgages can be obtained using the mean of the observed default, so called the Mean of ratios estimator…
q-fin.ST2014
The Credibility Theory applied to backtesting Counterparty Credit Risk
Matteo Formenti
Credibility theory provides tools to obtain better estimates by combining individual data with sample information. We apply the Credibility theory to a Uniform distribution that is…