credloss {HoRM}

Credit Loss Dataset

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.