  This work presents a theoretical and empirical evaluation of Anderson-Darling
test when the sample size is limited. The test can be applied in order to
backtest the risk factors dynamics in the context of Counterparty Credit Risk
modelling. We show the limits of such test when backtesting the distributions
of an interest rate model over long time horizons and we propose a modified
version of the test that is able to detect more efficiently an underestimation
of the model's volatility. Finally we provide an empirical application.
