651 citations · 806 across the 10 of their papers we have counts for
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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…
q-fin.RM2014
Value-at-Risk time scaling for long-term risk estimation
Luca Spadafora, Marco Dubrovich, Marcello Terraneo
In this paper we discuss a general methodology to compute the market risk measure over long time horizons and at extreme percentiles, which are the typical conditions needed for es…