portfolio.pois: Example Portfolio Data with Poisson Default Mode

Description Usage Format

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.

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



Search within the GCPM package
Search all R packages, documentation and source code

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.