Wojciech Starosta

Wojciech Starosta is a Head of the Quant team actively involved in almost all types of Credit Risk themes ranging from IRB approach, New EBA Requirements on the IRB parameters, EBA Stress Testing, to IFRS9 Impairment model development and implementation. His research interests include statistical finance, credit risk and pricing models.

Articles by Wojciech Starosta

Original research

Beyond the contract: client behavior from origination to default as the new set of the loss given default risk drivers

In this paper, we expand the modeling process by constructing a set of client-behavior-based predictors that can be used to construct more precise models, and we investigate the economic justifications empirically to examine their potential usage.

24 Feb 2021

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