credit_data: Credit data set

In spesenti/SWIM: Scenario Weights for Importance Measurement

Description

A dataset containing total aggregate losses from three sub-portfolios, generated through a binomial credit model.

Usage

credit_data

Format

A data frame with 100,000 rows and 7 variables:

L

total aggregate loss of a portfolio consisting of three homogeneous sub-portfolios L1, L2 and L3

L1

aggregate loss of sub-portfolio 1

L2

aggregate loss of sub-portfolio 2

L3

aggregate loss of sub-portfolio 3

H1

(conditional) default probability of sub-portfolio 1

H2

(conditional) default probability of sub-portfolio 2

H3

(conditional) default probability of sub-portfolio 3

Source

For a detailed case study of the credit data set using SWIM see
\insertRefPesenti2020SSRNSWIM

spesenti/SWIM documentation built on Jan. 15, 2022, 11:19 a.m.