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Exposed to Risk
An important basic concept in default analytics is “exposed to risk” by which we mean risk of going into default unless otherwise specified (one might otherwise be studying risk/propensity of churn,...
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Hazard part 1
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...
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Hazard – part 2
Continuing part 1, perhaps we should note that the subject ‘hazard’ 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...
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Hazard – typical shape
What shape does a typical default hazard curve have? Note that this post is about default hazard – the churn hazard curve is a completely different matter. Recall that the hazard at any particular MOB...
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Hazard curve as data cleaning tool
One of the uses of a hazard curve is as a sanity check on your data and the technicalities of the default definition. If you regularly find yourself analysing millions of records, you will know that...
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Hazard – stages of default
So far the event we’ve been considering as the subject of analysis has been default, with occasional mention of churn. Default, being progressive, lends itself to analysis of its stages, such as the...
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