A Goodness-of-Fit Test with Focus on Conditional Value at Risk

A Goodness-of-Fit Test with Focus on Conditional Value at Risk

To verify whether an empirical distribution has a specific theoretical distribution, several tests have been used like the Kolmogorov-Smirnov and the Kuiper tests. These tests try to analyze if all parts of the empirical distribution has a specific theoretical shape. But, in a Risk Management framewor...

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Bibliographic Details
Main Authors: José Renato Haas Ornelas, Aquiles Rocha de Farias, José Santiago Fajardo Barbachan
Format: Article
Language:English
Published: Brazilian Society of Finance 2008-10-01
Series:Revista Brasileira de Finanças
Subjects:
conditional value at risk
goodness-of-fit
Monte Carlo Simulation
Online Access:http://virtualbib.fgv.br/ojs/index.php/rbfin/article/view/1300

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