credloss {HoRM} | R Documentation |
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.
[Package HoRM version 0.1.4 Index]