Aussenegg, Wolfgang; Resch, Florian; Winkler, Gerhard - In: Journal of Banking & Finance 35 (2011) 3, pp. 698-708
Testing calibration quality by means of backtesting is an integral part in the validation of credit rating systems. Against this background this paper provides a comprehensive overview of existing testing procedures. We study the procedures' deficiencies theoretically and illustrate their impact...