Marco van der Burgt
Dr M.J. van der Burgt (GARP FRM®) is Senior Risk Model Validator at Nationale Nederlanden Group. He is involved in the validation of both banking and insurance risk models. His main interests are credit risk modelling, actuarial modelling and data science. Previously, he held positions as a Senior Associate at Mercer, Quantitative Analyst at Atradius, Head of Credit Rating Modelling at ABN Amro Bank and as a Quantitative Analyst at ING Bank. He has a Degree in Physics and a Ph.D. in Physical-Organic Chemistry from the University of Leiden for his research on Molecular Spectroscopy. Over the years he has written publications on credit risk and country risk modelling in Risk Magazine, the Journal of Credit Risk and the Journal of Risk Model Validation.
Articles by Marco van der Burgt
How accurate is the accuracy ratio in credit risk model validation?
The author presents four methods to estimate the sample variance of the accuracy ratio and the area under the curve.