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.