portfolio.pool: Pooled Portfolio

Description Usage Format

Description

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

Usage

1
data("portfolio.pool")

Format

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


GCPM documentation built on May 29, 2017, 11:49 a.m.