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	<title>ozrisk.net &#187; Clive</title>
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		<title>ozrisk.net &#187; Clive</title>
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		<item>
		<title>Is the future like the past?</title>
		<link>http://ozrisk.net/2009/07/28/is-the-future-like-the-past/</link>
		<comments>http://ozrisk.net/2009/07/28/is-the-future-like-the-past/#comments</comments>
		<pubDate>Tue, 28 Jul 2009 13:49:17 +0000</pubDate>
		<dc:creator>Clive</dc:creator>
				<category><![CDATA[Risk Management]]></category>
		<category><![CDATA[model]]></category>

		<guid isPermaLink="false">http://ozrisk.net/?p=675</guid>
		<description><![CDATA[.. continuing a ramble prompted by the Normal / Levy thread : This deceptively simple question is at the heart of many modelling issues. Interpreted at a shallow level, this could be a question about whether the values of some variables are within the range they have moved in historically. At a deeper level, the [...]<img alt="" border="0" src="http://stats.wordpress.com/b.gif?host=ozrisk.net&#038;blog=64886&#038;post=675&#038;subd=ozrisk&#038;ref=&#038;feed=1" width="1" height="1" />]]></description>
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		<slash:comments>17</slash:comments>
	
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			<media:title type="html">Clive</media:title>
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		<item>
		<title>Models, Distributions: preamble</title>
		<link>http://ozrisk.net/2009/07/21/models-distributions-preamble/</link>
		<comments>http://ozrisk.net/2009/07/21/models-distributions-preamble/#comments</comments>
		<pubDate>Mon, 20 Jul 2009 15:16:00 +0000</pubDate>
		<dc:creator>Clive</dc:creator>
				<category><![CDATA[Risk Management]]></category>
		<category><![CDATA[distribution]]></category>
		<category><![CDATA[Levy]]></category>
		<category><![CDATA[model]]></category>
		<category><![CDATA[Normal]]></category>

		<guid isPermaLink="false">http://ozrisk.net/?p=669</guid>
		<description><![CDATA[Some contributions on the Normal vs Levy thread suggest that wider musings on modelling issues may be fruitful. By the standards set by one poster as the minimum &#8220;to understand financial modelling&#8221;, my score looks to be 1/5, so readers need not expect breakthroughs on particular questions in this field. While not disputing that Levy [...]<img alt="" border="0" src="http://stats.wordpress.com/b.gif?host=ozrisk.net&#038;blog=64886&#038;post=669&#038;subd=ozrisk&#038;ref=&#038;feed=1" width="1" height="1" />]]></description>
		<wfw:commentRss>http://ozrisk.net/2009/07/21/models-distributions-preamble/feed/</wfw:commentRss>
		<slash:comments>87</slash:comments>
	
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			<media:title type="html">Clive</media:title>
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		<title>Risk per business type</title>
		<link>http://ozrisk.net/2008/07/22/risk-per-business-type/</link>
		<comments>http://ozrisk.net/2008/07/22/risk-per-business-type/#comments</comments>
		<pubDate>Tue, 22 Jul 2008 13:17:04 +0000</pubDate>
		<dc:creator>Clive</dc:creator>
				<category><![CDATA[Basel II]]></category>
		<category><![CDATA[Credit Risk]]></category>
		<category><![CDATA[non-retail]]></category>

		<guid isPermaLink="false">http://ozrisk.wordpress.com/?p=348</guid>
		<description><![CDATA[Paraphrasing an emailed question from Dominik (who IIUC is not from Australia): is there information out there about the credit risks associated with different categories of business? This is outside my zone (mostly retail, i.e. individuals). Dominik asks: &#8220;I need to set up (for a loan granting purposes) a kind of a rating matrix for different [...]<img alt="" border="0" src="http://stats.wordpress.com/b.gif?host=ozrisk.net&#038;blog=64886&#038;post=348&#038;subd=ozrisk&#038;ref=&#038;feed=1" width="1" height="1" />]]></description>
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		<slash:comments>1</slash:comments>
	
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			<media:title type="html">Clive</media:title>
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		<title>Validation</title>
		<link>http://ozrisk.net/2008/07/08/validation/</link>
		<comments>http://ozrisk.net/2008/07/08/validation/#comments</comments>
		<pubDate>Mon, 07 Jul 2008 16:04:37 +0000</pubDate>
		<dc:creator>Clive</dc:creator>
				<category><![CDATA[Basel II]]></category>
		<category><![CDATA[Credit Risk]]></category>
		<category><![CDATA[Default Analytics]]></category>
		<category><![CDATA[validation]]></category>

		<guid isPermaLink="false">http://ozrisk.wordpress.com/?p=345</guid>
		<description><![CDATA[While on the subject of &#8220;validation&#8221; &#8211; 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 could cover a wider scope than merely reviewing the models themselves. All aspects of how the modelling methodology was chosen, executed, implemented, and [...]<img alt="" border="0" src="http://stats.wordpress.com/b.gif?host=ozrisk.net&#038;blog=64886&#038;post=345&#038;subd=ozrisk&#038;ref=&#038;feed=1" width="1" height="1" />]]></description>
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		<slash:comments>2</slash:comments>
	
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			<media:title type="html">Clive</media:title>
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		<title>EL-AL validation</title>
		<link>http://ozrisk.net/2008/07/02/el-al-validation/</link>
		<comments>http://ozrisk.net/2008/07/02/el-al-validation/#comments</comments>
		<pubDate>Wed, 02 Jul 2008 13:21:51 +0000</pubDate>
		<dc:creator>Clive</dc:creator>
				<category><![CDATA[Basel II]]></category>
		<category><![CDATA[Credit Risk]]></category>
		<category><![CDATA[Default Analytics]]></category>
		<category><![CDATA[actual loss]]></category>
		<category><![CDATA[AL]]></category>
		<category><![CDATA[EL]]></category>
		<category><![CDATA[expected loss]]></category>
		<category><![CDATA[validation]]></category>

		<guid isPermaLink="false">http://ozrisk.wordpress.com/?p=344</guid>
		<description><![CDATA[Nothing to do with airlines, we speak here of validating expected loss against actual loss. A point made by Bruce M in recent comments is that there needs to be consistency in the modelling methodology behind the suite of models for the risk components PD, EAD and LGD. One task that should bring this point [...]<img alt="" border="0" src="http://stats.wordpress.com/b.gif?host=ozrisk.net&#038;blog=64886&#038;post=344&#038;subd=ozrisk&#038;ref=&#038;feed=1" width="1" height="1" />]]></description>
		<wfw:commentRss>http://ozrisk.net/2008/07/02/el-al-validation/feed/</wfw:commentRss>
		<slash:comments>5</slash:comments>
	
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			<media:title type="html">Clive</media:title>
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		<title>Useful newsletter</title>
		<link>http://ozrisk.net/2008/07/01/useful-newsletter/</link>
		<comments>http://ozrisk.net/2008/07/01/useful-newsletter/#comments</comments>
		<pubDate>Tue, 01 Jul 2008 12:29:27 +0000</pubDate>
		<dc:creator>Clive</dc:creator>
				<category><![CDATA[Basel II]]></category>
		<category><![CDATA[Credit Risk]]></category>
		<category><![CDATA[Default Analytics]]></category>
		<category><![CDATA[CRAON]]></category>
		<category><![CDATA[newsletter]]></category>

		<guid isPermaLink="false">http://ozrisk.wordpress.com/?p=343</guid>
		<description><![CDATA[  A useful professional resource is provided by Ross Gayler in the form of the &#8220;Credit Risk Analytics Occasional Newsletter&#8221; About this newsletter Intended Audience, Content &#38; Frequency The Credit Risk Analytics Occasional Newsletter is intended for predictive modelling analysts working in retail credit risk management, for example, credit scoring, Basel II modelling, or fraud [...]<img alt="" border="0" src="http://stats.wordpress.com/b.gif?host=ozrisk.net&#038;blog=64886&#038;post=343&#038;subd=ozrisk&#038;ref=&#038;feed=1" width="1" height="1" />]]></description>
		<wfw:commentRss>http://ozrisk.net/2008/07/01/useful-newsletter/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
	
		<media:content url="http://0.gravatar.com/avatar/060ca45848f25800ed9032daf7d06af0?s=96&#38;d=identicon&#38;r=R" medium="image">
			<media:title type="html">Clive</media:title>
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		<item>
		<title>Representative cross-sectional sampling</title>
		<link>http://ozrisk.net/2008/06/17/representative-cross-sectional-sampling/</link>
		<comments>http://ozrisk.net/2008/06/17/representative-cross-sectional-sampling/#comments</comments>
		<pubDate>Mon, 16 Jun 2008 14:33:36 +0000</pubDate>
		<dc:creator>Clive</dc:creator>
				<category><![CDATA[Basel II]]></category>
		<category><![CDATA[Credit Risk]]></category>
		<category><![CDATA[Default Analytics]]></category>
		<category><![CDATA[LGD]]></category>
		<category><![CDATA[marts]]></category>
		<category><![CDATA[modelling marts]]></category>
		<category><![CDATA[sampling]]></category>

		<guid isPermaLink="false">http://ozrisk.wordpress.com/?p=341</guid>
		<description><![CDATA[Drawing together several themes, today&#8217;s post recommends how to assemble modelling marts that will be representative for use in Basel context. Basel context is a cross-sectional context: at some point in time, such as the most recent calendar month end, the bank must assess the risk components (PD, EAD, LGD and hence [or otherwise?] the expected [...]<img alt="" border="0" src="http://stats.wordpress.com/b.gif?host=ozrisk.net&#038;blog=64886&#038;post=341&#038;subd=ozrisk&#038;ref=&#038;feed=1" width="1" height="1" />]]></description>
		<wfw:commentRss>http://ozrisk.net/2008/06/17/representative-cross-sectional-sampling/feed/</wfw:commentRss>
		<slash:comments>6</slash:comments>
	
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			<media:title type="html">Clive</media:title>
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		<item>
		<title>Length-based sampling</title>
		<link>http://ozrisk.net/2008/06/15/length-based-sampling/</link>
		<comments>http://ozrisk.net/2008/06/15/length-based-sampling/#comments</comments>
		<pubDate>Sun, 15 Jun 2008 11:32:36 +0000</pubDate>
		<dc:creator>Clive</dc:creator>
				<category><![CDATA[Basel II]]></category>
		<category><![CDATA[Credit Risk]]></category>
		<category><![CDATA[Default Analytics]]></category>
		<category><![CDATA[bad episode]]></category>
		<category><![CDATA[LGD]]></category>

		<guid isPermaLink="false">http://ozrisk.wordpress.com/?p=340</guid>
		<description><![CDATA[Default episodes have varying lengths. This can lead to a bias called related to the statistical issue called &#8220;length-based sampling&#8221; For building an LGD modelling mart, a typical approach would be to collect all the bad episodes that impinge on a certain time window. However this introduces a length-based bias, because the longer episodes have more [...]<img alt="" border="0" src="http://stats.wordpress.com/b.gif?host=ozrisk.net&#038;blog=64886&#038;post=340&#038;subd=ozrisk&#038;ref=&#038;feed=1" width="1" height="1" />]]></description>
		<wfw:commentRss>http://ozrisk.net/2008/06/15/length-based-sampling/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
	
		<media:content url="http://0.gravatar.com/avatar/060ca45848f25800ed9032daf7d06af0?s=96&#38;d=identicon&#38;r=R" medium="image">
			<media:title type="html">Clive</media:title>
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		<item>
		<title>Re-aging: APRA proposal</title>
		<link>http://ozrisk.net/2008/06/09/re-aging-apra-proposal/</link>
		<comments>http://ozrisk.net/2008/06/09/re-aging-apra-proposal/#comments</comments>
		<pubDate>Mon, 09 Jun 2008 13:23:11 +0000</pubDate>
		<dc:creator>Clive</dc:creator>
				<category><![CDATA[Australian Implementation]]></category>
		<category><![CDATA[Basel II]]></category>
		<category><![CDATA[Credit Risk]]></category>
		<category><![CDATA[Default Analytics]]></category>
		<category><![CDATA[Regulators]]></category>
		<category><![CDATA[bad episode]]></category>
		<category><![CDATA[default episode]]></category>
		<category><![CDATA[LGD]]></category>
		<category><![CDATA[re-aging]]></category>

		<guid isPermaLink="false">http://ozrisk.wordpress.com/?p=339</guid>
		<description><![CDATA[Continuing the re-aging thread, a note circulated by APRA had a clear grip of the issue, and proposed: &#8220;APRA&#8217;s proposed solution is to only allow the recording of a second default event after the loan has been in the non-default status for a period of at least 12 months&#8221; &#8216;Fraid I can&#8217;t give a direct [...]<img alt="" border="0" src="http://stats.wordpress.com/b.gif?host=ozrisk.net&#038;blog=64886&#038;post=339&#038;subd=ozrisk&#038;ref=&#038;feed=1" width="1" height="1" />]]></description>
		<wfw:commentRss>http://ozrisk.net/2008/06/09/re-aging-apra-proposal/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
	
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			<media:title type="html">Clive</media:title>
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		<item>
		<title>Bad episodes &amp; LGD</title>
		<link>http://ozrisk.net/2008/06/06/bad-episodes-lgd/</link>
		<comments>http://ozrisk.net/2008/06/06/bad-episodes-lgd/#comments</comments>
		<pubDate>Thu, 05 Jun 2008 14:18:27 +0000</pubDate>
		<dc:creator>Clive</dc:creator>
				<category><![CDATA[Basel II]]></category>
		<category><![CDATA[Credit Risk]]></category>
		<category><![CDATA[Default Analytics]]></category>
		<category><![CDATA[bad episode]]></category>
		<category><![CDATA[default episode]]></category>
		<category><![CDATA[LGD]]></category>
		<category><![CDATA[re-aging]]></category>

		<guid isPermaLink="false">http://ozrisk.wordpress.com/?p=338</guid>
		<description><![CDATA[Continuing the re-aging theme: a clear episodic definition of default is important as the basis for LGD modelling. Whether one thinks of this issue in terms of the re-aging rule, or in terms of default episodes, is two sides of the same coin: re-aging is the rule that determines when the episode ends, and the [...]<img alt="" border="0" src="http://stats.wordpress.com/b.gif?host=ozrisk.net&#038;blog=64886&#038;post=338&#038;subd=ozrisk&#038;ref=&#038;feed=1" width="1" height="1" />]]></description>
		<wfw:commentRss>http://ozrisk.net/2008/06/06/bad-episodes-lgd/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
	
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			<media:title type="html">Clive</media:title>
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