Application of the Kolmogorov-Smirnov test to seasonal phenomena may be inappropriate

Kolmogorov–Smirnov-type testing for the

Kolmogorov–Smirnov-type testing for the partial homogeneity of Markov processes—with application to credit risk

✍ Rafael Weißbach; Holger Dette 📂 Article 📅 2007 🏛 John Wiley and Sons 🌐 English ⚖ 184 KB 👁 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