| credit_data {SWIM} | R Documentation |
Credit data set
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
Pesenti S BAMPTA (2020).
“Scenario Weights for Importance Measurement (SWIM) - An R package for sensitivity analysis.”
Annals of Actuarial Science 15.2 (2021): 458-483. Available at SSRN: https://www.ssrn.com/abstract=3515274.