Financial Risk Manager Part 2
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Cindy, a post-graduate student in risk management, is learning how to use various goodness-of-fit tests to assess the uniformity of the distribution of PITs. Which of the following statements correctly describes these tests?
A
One limitation of the Kolmogorov-Smirnov test is its lack of sensitivity at the center of the distribution, so that it is ineffective in detecting differences in central masses of the two distributions.
B
The Cramer-von Mises test is a variation of the Kolmogorov-Smirnov test that relies on the mean absolute deviation of the distribution.
C
In the context of VaR backtesting, the null hypothesis of Anderson-Darling test is that the empirical CDF is not cumulative standard uniform.
D
When the null hypothesis is true, the test statistic of all three goodness-of-fit tests is equal to zero.