Modified Kolmogorov-Smirnov Statistic for Credit Evaluation
作者： C.S. Hong , G. Bang
DOI: 10.5351/KJAS.2008.21.6.1065
关键词:
摘要: For the model validation of credit rating models, Kolmogorov-Smirnov(K-S) statistic has been widely used as a testing method discriminatory power from probabilities default for and non-default. works, K-S statistics are to test two identical distribution functions which partitioned distribution. In this paper under assumption that is known, modified formulated by using known distributions proposed compared statistic.
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