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	<title>ozrisk.net</title>
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	<description>Risk Management in Australia</description>
	<pubDate>Sat, 17 May 2008 14:13:22 +0000</pubDate>
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			<item>
		<title>Hazard - part 2</title>
		<link>http://ozrisk.net/2008/05/18/hazard-part-2/</link>
		<comments>http://ozrisk.net/2008/05/18/hazard-part-2/#comments</comments>
		<pubDate>Sat, 17 May 2008 14:13:22 +0000</pubDate>
		<dc:creator>Clive</dc:creator>
		
		<category><![CDATA[Basel II]]></category>

		<category><![CDATA[Credit Risk]]></category>

		<category><![CDATA[Default Analytics]]></category>

		<category><![CDATA[hazard]]></category>

		<guid isPermaLink="false">http://ozrisk.wordpress.com/?p=327</guid>
		<description><![CDATA[Continuing part 1, perhaps we should note that the subject &#8216;hazard&#8217; here is in its very specific statistical sense, and is not the moral hazard issue which has been a serious subject of debate in the context of taxpayer rescues of financial institutions.
Mathematically, the hazard function is defined by h(x) = f(x) / (1 - F(x) [...]]]></description>
		<wfw:commentRss>http://ozrisk.net/2008/05/18/hazard-part-2/feed/</wfw:commentRss>
		</item>
		<item>
		<title>Hazard part 1</title>
		<link>http://ozrisk.net/2008/05/15/hazard-part-1/</link>
		<comments>http://ozrisk.net/2008/05/15/hazard-part-1/#comments</comments>
		<pubDate>Wed, 14 May 2008 15:51:43 +0000</pubDate>
		<dc:creator>Clive</dc:creator>
		
		<category><![CDATA[Basel II]]></category>

		<category><![CDATA[Credit Risk]]></category>

		<category><![CDATA[Default Analytics]]></category>

		<category><![CDATA[censoring]]></category>

		<category><![CDATA[hazard]]></category>

		<category><![CDATA[survival]]></category>

		<guid isPermaLink="false">http://ozrisk.wordpress.com/?p=326</guid>
		<description><![CDATA[Introducing some technical terms that arise in default analytics.
This nomenclature comes from the field of statistics called survival analysis, which is well established and readily found in text books or wiki entries etc. If you don&#8217;t mind reading maths you will find better guidance there than in this post. The name &#8217;survival&#8217; arose because the [...]]]></description>
		<wfw:commentRss>http://ozrisk.net/2008/05/15/hazard-part-1/feed/</wfw:commentRss>
		</item>
		<item>
		<title>Westpac / St. George Deal</title>
		<link>http://ozrisk.net/2008/05/12/westpac-st-george-deal/</link>
		<comments>http://ozrisk.net/2008/05/12/westpac-st-george-deal/#comments</comments>
		<pubDate>Mon, 12 May 2008 05:54:49 +0000</pubDate>
		<dc:creator>Andrew</dc:creator>
		
		<category><![CDATA[Banks]]></category>

		<category><![CDATA[Business]]></category>

		<category><![CDATA[Opinion]]></category>

		<category><![CDATA[Regulators]]></category>

		<guid isPermaLink="false">http://ozrisk.wordpress.com/?p=325</guid>
		<description><![CDATA[As I discussed a while back the big four are unlikely to be allowed to consolidate between themselves, so, with St. George being the largest of the second tier this is as big as they are likely to get within the Oz banking community. Banking deals in Australia are unlikely to ever be much bigger [...]]]></description>
		<wfw:commentRss>http://ozrisk.net/2008/05/12/westpac-st-george-deal/feed/</wfw:commentRss>
	
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			<media:title type="html">ozrisk</media:title>
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		<title>Inside a time grain</title>
		<link>http://ozrisk.net/2008/05/10/inside-a-time-grain/</link>
		<comments>http://ozrisk.net/2008/05/10/inside-a-time-grain/#comments</comments>
		<pubDate>Fri, 09 May 2008 15:05:30 +0000</pubDate>
		<dc:creator>Clive</dc:creator>
		
		<category><![CDATA[Basel II]]></category>

		<category><![CDATA[Credit Risk]]></category>

		<category><![CDATA[Default Analytics]]></category>

		<category><![CDATA[exposed to risk]]></category>

		<category><![CDATA[time granularity]]></category>

		<guid isPermaLink="false">http://ozrisk.wordpress.com/?p=324</guid>
		<description><![CDATA[Harking back to the issue of time granularity, and anticipating some default analytic calculations yet to come, let&#8217;s get back to small details and look inside the smallest data unit i.e. the time grain.
For typical retail products this granularity would be a month, which is the example carried forward in this post.
Monthly data warehoused for [...]]]></description>
		<wfw:commentRss>http://ozrisk.net/2008/05/10/inside-a-time-grain/feed/</wfw:commentRss>
		</item>
		<item>
		<title>Risk appetite</title>
		<link>http://ozrisk.net/2008/05/08/risk-appetite/</link>
		<comments>http://ozrisk.net/2008/05/08/risk-appetite/#comments</comments>
		<pubDate>Wed, 07 May 2008 15:52:58 +0000</pubDate>
		<dc:creator>Clive</dc:creator>
		
		<category><![CDATA[Basel II]]></category>

		<category><![CDATA[Credit Risk]]></category>

		<category><![CDATA[Default Analytics]]></category>

		<category><![CDATA[average]]></category>

		<category><![CDATA[marginal]]></category>

		<category><![CDATA[risk appetite]]></category>

		<guid isPermaLink="false">http://ozrisk.wordpress.com/?p=323</guid>
		<description><![CDATA[In the context of retail applicants, application scorecards etc., is there a well defined meaning for &#8220;risk appetite&#8221;?
My feeling is that it could be referring to either the marginal or the average situation, depending which hat is worn.
The risk management function acts as the gatekeeper, drawing the line on acceptable levels of risk - risk appetite - [...]]]></description>
		<wfw:commentRss>http://ozrisk.net/2008/05/08/risk-appetite/feed/</wfw:commentRss>
		</item>
		<item>
		<title>Marginal vs Average profitability and TTD</title>
		<link>http://ozrisk.net/2008/05/05/marginal-vs-average-profitability-and-ttd/</link>
		<comments>http://ozrisk.net/2008/05/05/marginal-vs-average-profitability-and-ttd/#comments</comments>
		<pubDate>Sun, 04 May 2008 14:21:44 +0000</pubDate>
		<dc:creator>Clive</dc:creator>
		
		<category><![CDATA[Basel II]]></category>

		<category><![CDATA[Credit Risk]]></category>

		<category><![CDATA[Default Analytics]]></category>

		<category><![CDATA[average]]></category>

		<category><![CDATA[cut-off]]></category>

		<category><![CDATA[marginal]]></category>

		<category><![CDATA[scorecard]]></category>

		<category><![CDATA[TTD]]></category>

		<guid isPermaLink="false">http://ozrisk.wordpress.com/?p=322</guid>
		<description><![CDATA[The previous post discussed setting of scorecard cut-off by the criterion of marginal profit, which translates to marginal PD. But what about average profitability (or average PD) as a measure for a portfolio or as a criterion for arriving at a cut-off?
The general issue of marginal vs average cost, revenue &#38; profitability is a familiar [...]]]></description>
		<wfw:commentRss>http://ozrisk.net/2008/05/05/marginal-vs-average-profitability-and-ttd/feed/</wfw:commentRss>
		</item>
		<item>
		<title>Odds and marginal profitability</title>
		<link>http://ozrisk.net/2008/05/01/odds-and-marginal-profitability/</link>
		<comments>http://ozrisk.net/2008/05/01/odds-and-marginal-profitability/#comments</comments>
		<pubDate>Thu, 01 May 2008 12:33:25 +0000</pubDate>
		<dc:creator>Clive</dc:creator>
		
		<category><![CDATA[Basel II]]></category>

		<category><![CDATA[Credit Risk]]></category>

		<category><![CDATA[Default Analytics]]></category>

		<category><![CDATA[cut-off]]></category>

		<category><![CDATA[marginal]]></category>

		<category><![CDATA[odds]]></category>

		<category><![CDATA[profitability]]></category>

		<guid isPermaLink="false">http://ozrisk.wordpress.com/?p=321</guid>
		<description><![CDATA[Odds provide a useful frame for considering that important business question: where to set the score cut-off.
The basic business logic is to set the cut-off at the score where marginal profitability equals zero - i.e. if you moved the cut-off any lower you would be losing money on each additional applicant so approved, whereas if [...]]]></description>
		<wfw:commentRss>http://ozrisk.net/2008/05/01/odds-and-marginal-profitability/feed/</wfw:commentRss>
		</item>
		<item>
		<title>Odds</title>
		<link>http://ozrisk.net/2008/04/29/odds/</link>
		<comments>http://ozrisk.net/2008/04/29/odds/#comments</comments>
		<pubDate>Tue, 29 Apr 2008 08:25:42 +0000</pubDate>
		<dc:creator>Clive</dc:creator>
		
		<category><![CDATA[Basel II]]></category>

		<category><![CDATA[Credit Risk]]></category>

		<category><![CDATA[Default Analytics]]></category>

		<category><![CDATA[log odds]]></category>

		<category><![CDATA[log_odds]]></category>

		<category><![CDATA[odds]]></category>

		<category><![CDATA[PD]]></category>

		<category><![CDATA[PDO]]></category>

		<category><![CDATA[score]]></category>

		<guid isPermaLink="false">http://ozrisk.wordpress.com/?p=320</guid>
		<description><![CDATA[The credit risk world likes to work with &#8216;odds&#8217; and related quantities so these are covered today.
You could just do everything in terms of probability, i.e. PD, which is unambiguous. PD lies in [0,1] and a small number (like 0.002) is a better customer than a bigger number (like 0.013). In typical modelling situations (in [...]]]></description>
		<wfw:commentRss>http://ozrisk.net/2008/04/29/odds/feed/</wfw:commentRss>
		</item>
		<item>
		<title>G,B, and the rest</title>
		<link>http://ozrisk.net/2008/04/27/gb-and-the-rest/</link>
		<comments>http://ozrisk.net/2008/04/27/gb-and-the-rest/#comments</comments>
		<pubDate>Sun, 27 Apr 2008 08:25:41 +0000</pubDate>
		<dc:creator>Clive</dc:creator>
		
		<category><![CDATA[Basel II]]></category>

		<category><![CDATA[Credit Risk]]></category>

		<category><![CDATA[Default Analytics]]></category>

		<category><![CDATA[Add new tag]]></category>

		<category><![CDATA[Dormant]]></category>

		<category><![CDATA[Indeterminate]]></category>

		<category><![CDATA[Undrawn]]></category>

		<guid isPermaLink="false">http://ozrisk.wordpress.com/?p=319</guid>
		<description><![CDATA[Following the comments on indeterminate, it is timely to introduce some shorthand notation that will help in discussions that follow.
The issue is the point-in-time default definition. Your default definition should in the first instance produce a decision at every point in time as to whether the account is in default or not. The set of [...]]]></description>
		<wfw:commentRss>http://ozrisk.net/2008/04/27/gb-and-the-rest/feed/</wfw:commentRss>
		</item>
		<item>
		<title>Bank Fees - Are They Legal?</title>
		<link>http://ozrisk.net/2008/04/24/bank-fees-are-they-legal/</link>
		<comments>http://ozrisk.net/2008/04/24/bank-fees-are-they-legal/#comments</comments>
		<pubDate>Thu, 24 Apr 2008 01:17:34 +0000</pubDate>
		<dc:creator>Andrew</dc:creator>
		
		<category><![CDATA[Bank Regulation]]></category>

		<category><![CDATA[Business]]></category>

		<category><![CDATA[Retail Banking]]></category>

		<category><![CDATA[Bank Fees]]></category>

		<guid isPermaLink="false">http://ozrisk.wordpress.com/?p=318</guid>
		<description><![CDATA[A quick look at whether bank fees are legal under Australian law]]></description>
		<wfw:commentRss>http://ozrisk.net/2008/04/24/bank-fees-are-they-legal/feed/</wfw:commentRss>
	
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