When I first heard 'my bad' I actually thought the person was saying, 'Am I bad?' Then I checked with my son who told me the words are 'my bad'. I thought it was a new expression but a Google search provided some interesting information. It is a correct English expression commonly used in American speech. It is suggested it 'originated' in the mid 1970s among basketball players and was used as an apology for making a mistake during a game. Other information says Shakespeare used the expression in a sonnet so perhaps it's not such a new expression.