pits
-
P2.T5.25.4 Backtesting VaR Models with PITs (Kolmogorov-Smirnov, Anderson-Darling, Cramér-von Mises)
Learning Objective: Describe back testing using PITs, and compare the various goodness-of-fit tests that can be used to evaluate the distribution of PITs: the Kolmogorov-Smirnov test, the Anderson-Darling test, and the Cramér-von Mises test. Questions: 25.4.1. Adam Knight, a risk manager...- Derrick.Roslanic
- Thread
- backtesting goodness-of-fit pits
- Replies: 0
- Forum: FRM® Practice Questions
-
P2.T5.25.3 Testing VaR Models Using Exceedance Backtests and PIT Distribution Analysis
Learning Objectives: Identify the properties of an exceedance-based back test that indicate a VaR model is accurate and describe how these properties are reflected in a PIT-based back test. Explain how to derive probability integral transforms (PITs) in the context of validating a VaR model...- Derrick.Roslanic
- Thread
- pits var-model
- Replies: 0
- Forum: FRM® Practice Questions