portfolio.pois: Example Portfolio Data with Poisson Default Mode
In GCPM: Generalized Credit Portfolio Model
Description
The dataset contains an example portfolio in the structure needed by the analyze function.
Usage
1
data("portfolio.pois")
Format
A data frame with 3000 counterparties and the following variables.
NumberCounterparty ID (numeric)
NameCounterparty name (character)
BusinessBusiness line (character)
CountryCountry (character)
EADExposure at default (numeric)
LGDLoss given dafault (numeric)
PDProbability of default (numeric)
DefaultDefault mode (‘Poisson’ or ‘Benroulli’)
Asector weights for sector A
Bsector weights for sector B
Csector weights for sector C
GCPM documentation built on May 1, 2019, 8:50 p.m.
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Description
The dataset contains an example portfolio in the structure needed by the analyze function.
Usage
1 | data("portfolio.pois")
|
Format
A data frame with 3000 counterparties and the following variables.
NumberCounterparty ID (numeric)
NameCounterparty name (character)
BusinessBusiness line (character)
CountryCountry (character)
EADExposure at default (numeric)
LGDLoss given dafault (numeric)
PDProbability of default (numeric)
DefaultDefault mode (‘Poisson’ or ‘Benroulli’)
Asector weights for sector A
Bsector weights for sector B
Csector weights for sector C
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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