For credit risk threads in Ozrisk, let’s develop a list of abbreviations.

The aim is to keep the list manageably short: a compromise between efficiency and being readily understood by Ozrisk readers.

It is not the aim to provide definitions here.

Please consider this a work in progress and make suggestions. The list below is enough to be getting on with as regards material I plan to cover, but I’d be pleased to hear, and conform, if there are some broad based conventions in other environments.

A select few Basel favourites:

  • AIRB    Advanced Internal Ratings Based
  • PD, EAD, LGD   The risk components Probability of Default, Exposure at default, Loss given default
  • EL        Expected loss

Default analytics:

  • NDA, NMA Number of days (months) in arrears
  • DPD             Days past due
  • PDO             Number of scorecard points to double the odds

Modelling:

  • NTU            Not taken up
  • TTD            Through-the-door population
  • KGB            Known good or bad modelling datamart
  • SW, OW     Sample (Outcome~) window
  • OOS, OOT Out-of-sample (~time)
  • K-S             The Kolmogorov-Smirnov test (statistic)

Miscellaneous:

  • HL             Home Loan
  • PL              Personal Loan
  • CC              Credit Card
  • SAS            The global software vendor
  • ETL            Extract-transform-load: generically the process of going from raw data sources to a modelling mart

Usenet conventions:

OK to save some typing? We don’t want alphabet soup but a few are very useful:

  • BTW              By the way
  • IIRC, IIUC   If I remember (understand) correctly
  • AWML          About which more later

 The names of well known financial institutions need no listing, but for the situation of referring to a particular bank without wishing to identify it:

  • NNB             No-name Ban
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