In order to speed up calculations, counterparties of
portfolio.pois with EAD*LGD < 200,000 are grouped together (pooled).
A data frame with 1400 counterparties and 3 pools (each per sector) and the following variables.
Counterparty ID (numeric)
Counterparty name (character)
Business line (character)
Exposure at default (numeric); pool: average EAD per counterparty
Loss given dafault (numeric); pool: EAD-weighted average LGD per counterparty
Probability of default (numeric); pool: expectation of number of defaults
Default mode (‘Poisson’ for pools or ‘Benroulli’)
sector weights for sector A
sector weights for sector B
sector weights for sector C