ratingData: Data for rating classes of S&P

In validateRS: One-Sided Multivariate Testing Procedures for Rating Systems

Description

Data for rating classes of S&P

Usage

data(ratingData)

Format

A list with:

• SP.p.0: vector with PDs of S&P classes

• SP.sizes: vector with sizes of S&P classes

Details

Data that can be used for the function simul.scenario.rs. For a large number of classes a lot of memory is required. For computers with a limited amount of memory lesser classes can be obtained by indexing.

The number of rated entities and the PDs over a one-year horizon in the six S&P classes reflect the statistics for S&P's global corporate ratings available at https://www.nact.org/resources/NACT_2012_Global_Corporate_Default.pdf. S&P's rating grades are assigned to six classes according to the mapping report of the European Supervisory Authorities for the implementation of the Basel III banking regulation in the European Union (Capital Requirements Regulation (EU) No 575/2013) (see https://www.eba.europa.eu/regulation-and-policy/external-credit-assessment-institutions-ecai/draft-implementing-technical-standards-on-the-mapping-of-ecais-credit-assessments).

See Also

simul.scenario.rs

Examples

data(ratingData)

validateRS documentation built on May 2, 2019, 3:47 p.m.