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- W1570365753 abstract "To ensure accurate predictions of loss given default it is necessary to test the goodness-of-fit of the recovery rate data to the Beta distribution, assuming that its parameters are unknown. In the presence of unknown parameters, the Cramer-von Mises test statistic is neither asymptotically distribution free nor parameter free. In this paper, we propose to compute approximated critical values with a parametric bootstrap procedure. Some simulations show that the bootstrap procedure works well in practice." @default.
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- W1570365753 date "2006-01-01" @default.
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- W1570365753 title "On the Performance of Recovery Rate Modeling" @default.
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- W1570365753 doi "https://doi.org/10.1007/11751595_112" @default.
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