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Medium · risk_management · Quant Researcher interview question · risk-management, lgd, beta-distribution, method-of-moments, credit-risk
Loss Given Default (LGD) is a critical parameter in credit risk modeling, often estimated from historical recovery rates. The Beta distribution is a natural choice for modeling recovery rates, which are bounded between 0 and 1 and often exhibit a bimodal or unimodal shape. This problem uses the method-of-moments, a common technique to estimate the Beta distribution's parameters (alpha and beta) from sample data. Task Implement the function solution(recoveries: listfloat) -> dict to fit a Beta d