Blogs about: Default Analytics
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Validation
While on the subject of “validation” – it can have a range of meanings when applied to credit risk models. At the most general level it means review by an external authority. This co… more →
ozrisk.net
Validation
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Clive wrote 1 year ago: While on the subject of “validation” – it can have a range of meanings when applie … more →
EL-AL validation
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Clive wrote 1 year ago: Nothing to do with airlines, we speak here of validating expected loss against actual loss. A point … more →
Useful newsletter
Clive wrote 1 year ago: A useful professional resource is provided by Ross Gayler in the form of the “Credit Risk An … more →
Representative cross-sectional sampling
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Clive wrote 1 year ago: Drawing together several themes, today’s post recommends how to assemble modelling marts that … more →
Length-based sampling
Clive wrote 1 year ago: Default episodes have varying lengths. This can lead to a bias called related to the statistical iss … more →
Re-aging: APRA proposal
Clive wrote 1 year ago: Continuing the re-aging thread, a note circulated by APRA had a clear grip of the issue, and propose … more →
Bad episodes & LGD
Clive wrote 1 year ago: Continuing the re-aging theme: a clear episodic definition of default is important as the basis for … more →
Re-aging
Clive wrote 1 year ago: Maybe time to bring up a subject that contains more difficulties than one would expect: re-aging. Wh … more →
Independence of competing risks
Clive wrote 1 year ago: It would be convenient if one could assume independence of the two main agencies: default and churn. … more →
Hazard - stages of default
Clive wrote 1 year ago: So far the event we’ve been considering as the subject of analysis has been default, with occa … more →
Hazard curve as data cleaning tool
Clive wrote 1 year ago: One of the uses of a hazard curve is as a sanity check on your data and the technicalities of the de … more →
Hazard - typical shape
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Clive wrote 1 year ago: What shape does a typical default hazard curve have? Note that this post is about default hazard … more →
Hazard - part 2
Clive wrote 1 year ago: Continuing part 1, perhaps we should note that the subject ‘hazard’ here is in its very … more →
Hazard part 1
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Clive wrote 1 year ago: Introducing some technical terms that arise in default analytics. This nomenclature comes from the f … more →
Inside a time grain
Clive wrote 1 year ago: Harking back to the issue of time granularity, and anticipating some default analytic calculations y … more →
Risk appetite
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Clive wrote 1 year ago: In the context of retail applicants, application scorecards etc., is there a well defined meaning fo … more →
Marginal vs Average profitability and TTD
Clive wrote 1 year ago: The previous post discussed setting of scorecard cut-off by the criterion of marginal profit, which … more →
Odds and marginal profitability
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Clive wrote 1 year ago: Odds provide a useful frame for considering that important business question: where to set the score … more →
Odds
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Clive wrote 1 year ago: The credit risk world likes to work with ‘odds’ and related quantities so these are cove … more →
