Aneta Ptak-Chmielewska holds a position of Associate Professor at the Warsaw School of Economics. Her research field covers risk modeling, credit risk specialized, data mining and machine learning modeling, multivariate and advanced statistical modeling, survival analysis and enterprises statistics. She combines her academic experience with business. Currently she holds the Model Risk Management Area Lead position in RiskHub >> ING Tech Poland.
This paper proposes a methodology for estimating loss given default (LGD) that accounts for small default sample sizes.