The dataset contains an example portfolio in the structure needed by the analyze
function.
1 | data("portfolio.pois")
|
A data frame with 3000 counterparties and the following variables.
Number
Counterparty ID (numeric)
Name
Counterparty name (character)
Business
Business line (character)
Country
Country (character)
EAD
Exposure at default (numeric)
LGD
Loss given dafault (numeric)
PD
Probability of default (numeric)
Default
Default mode (‘Poisson’ or ‘Benroulli’)
A
sector weights for sector A
B
sector weights for sector B
C
sector weights for sector C
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