portfolio.pool: Pooled Portfolio
In GCPM: Generalized Credit Portfolio Model

In order to speed up calculations, counterparties of portfolio.pois with EAD*LGD < 200,000 are grouped together (pooled).

1	data("portfolio.pool")

A data frame with 1400 counterparties and 3 pools (each per sector) and the following variables.

Number: Counterparty ID (numeric)
Name: Counterparty name (character)
Business: Business line (character)
Country: Country (character)
EAD: Exposure at default (numeric); pool: average EAD per counterparty
LGD: Loss given dafault (numeric); pool: EAD-weighted average LGD per counterparty
PD: Probability of default (numeric); pool: expectation of number of defaults
Default: Default mode (‘Poisson’ for pools or ‘Benroulli’)
A: sector weights for sector A
B: sector weights for sector B
C: sector weights for sector C