portfolio.pois {GCPM}

Example Portfolio Data with Poisson Default Mode

Description

The dataset contains an example portfolio in the structure needed by the analyze function.

Usage

data("portfolio.pois")

Format

A data frame with 3000 counterparties and the following variables.

Number

Counterparty ID (numeric)

Name

Counterparty name (character)

Business

Business line (character)

Country

Country (character)

EAD

Exposure at default (numeric)

LGD

Loss given dafault (numeric)

PD

Probability of default (numeric)

Default

Default mode (‘Poisson’ or ‘Benroulli’)

A

sector weights for sector A

B

sector weights for sector B

C

sector weights for sector C