Description Usage Format Source
A dataset containing total aggregate losses from three sub-portfolios, generated through a binomial credit model.
1 |
A data frame with 100,000 rows and 7 variables:
total aggregate loss of a portfolio consisting of three homogeneous sub-portfolios L1, L2 and L3
aggregate loss of sub-portfolio 1
aggregate loss of sub-portfolio 2
aggregate loss of sub-portfolio 3
(conditional) default probability of sub-portfolio 1
(conditional) default probability of sub-portfolio 2
(conditional) default probability of sub-portfolio 3
For a detailed case study of the credit data set using SWIM
see
\insertRefPesenti2020SSRNSWIM
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