𝔖 Bobbio Scriptorium
✦   LIBER   ✦

A kolmogorov-smirnov type test for positive quadrant dependence

✍ Scribed by Olivier Scaillet


Publisher
John Wiley and Sons
Year
2005
Tongue
French
Weight
775 KB
Volume
33
Category
Article
ISSN
0319-5724

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Kolmogorov–Smirnov-type testing for the
✍ Rafael Weißbach; Holger Dette πŸ“‚ Article πŸ“… 2007 πŸ› John Wiley and Sons 🌐 English βš– 184 KB πŸ‘ 1 views

## Abstract In banking, the default behaviour of the counterpart is not only of interest for the pricing of transactions under credit risk but also for the assessment of a portfolio credit risk. We develop a test against the hypothesis that default intensities are chronologically constant within a