For Ozrisk, this is 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 make suggestions in the comments form below. The list below is enough to be getting on with, but we’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
  • EL – Expected loss
  • PD, EAD, LGD – The risk components Probability of Default, Exposure at default and Loss given default

Default analytics:

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

Modelling:

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

Miscellaneous:

  • CC – Credit Card
  • ETL – Extract-transform-load: generically the process of going from raw data sources to a modelling mart
  • HL – Home Loan
  • NNB – No-name Bank (a bank we will not be naming in a blog post)
  • PL – Personal Loan
  • SAS – The global software vendor

Usenet conventions:

To save some typing. We don’t want alphabet soup but a few are very useful:

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