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Aneta Ptak-Chmielewska
Warsaw School of Economics
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.
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Articles by Aneta Ptak-Chmielewska
Random survival forests and Cox regression in loss given default estimation
The authors put forward a loss given default model which incorporates the survival process and illustrate their approach with real mortgage data.
Incorporating small-sample defaults history in loss given default models
This paper proposes a methodology for estimating loss given default (LGD) that accounts for small default sample sizes.