Katarzyna (Kasia) Bijak
Dr Katarzyna (Kasia) Bijak is Lecturer in Management Science at the University of Southampton. Kasia obtained an MSc in Quantitative Methods and Information Systems from the Warsaw School of Economics in 2004. She subsequently worked in banking industry: first in a bank and then in a credit reference agency, where she developed application, behavioural, credit bureau and propensity scoring models. In 2009 she moved to the UK to pursue a PhD programme in the School of Management at the University of Southampton. She was awarded her PhD in 2013 for a thesis on selected modelling problems in credit scoring. Since 2013 Kasia has been Lecturer in Management Science in the Southampton Business School. Her research interests focus on applying quantitative methods in consumer credit modelling. In particular, she is interested in the applications of statistical methods (including Bayesian inference), data mining, artificial intelligence, stochastic processes and econometrics. Recently she has also developed an interest in healthcare modelling, especially employing techniques derived from credit scoring.
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This paper reviews the ways of measuring the performance of LGD models that have been previously used in the literature and also suggests some new measures.