credloss: Credit Loss Dataset

In HoRM: Supplemental Functions and Datasets for "Handbook of Regression Methods"

Description

This dataset consists of credit portfolio loss data that were extracted from the Altman-NYU Salomon Center Corporate Bond Default Database for the years 1982 through 2005.

Usage

data(credloss)

Format

This data frame consists of 5 variables over 24 years:

• year The year the statistics were collected.

• PD The probability of default.

• defs The number of defaults.

• LGD.mean The mean loss given default.

• LGD.vol A loss given default volatility measure.

Source

Bruche, M. and Gonzalez-Aguado, C. (2010), Recovery Rates, Default Probabilities, and the Credit Cycle, Journal of Banking and Finance, 34, 754–764.

References

Young, D. S. (2017), Handbook of Regression Methods, CRC Press.

HoRM documentation built on March 11, 2021, 9:07 a.m.