spdata.raw {QRMlib}R Documentation

Standard and Poors Default Data

Description

The spdata.raw data frame has 20 rows and 11 columns. It contains default data for A, BBB, BB, B and C-rated companies for the years 1981 to 2000

Usage

data(spdata.raw)

Format

This data frame contains the following 11 columns:
year year of default
Aobligors number of A-rated companies
Adefaults number of A-rated companies defaulting in year
BBBobligors number of BBB-rated companies
BBBdefaults number of BBB-rated companies that default in year
BBobligors number of BB-rated companies
BBdefaults number of BB-rated companies that default in year
Bobligors number of B-rated companies
Bdefaults number of B-rated companies that default in year
CCCobligors number of CCC-rated companies
CCCdefaults number of CCC-rated companies that default in year

There are 20 rows with values for the years from 1981 to 2000

Source

Standard & Poors Credit Monitor

See Also

spdata, momest

Examples

data(spdata.raw);
attach(spdata.raw); 
BdefaultRate <- Bdefaults/Bobligors;
BBdefaultRate <- BBdefaults/BBobligors;
BBBdefaultRate <- BBBdefaults/BBBobligors; 
AdefaultRate <- Adefaults/Aobligors; 
CCCdefaultRate <- CCCdefaults/CCCobligors; 
## Not run: 
plot(year,CCCdefaultRate,xlab="Year",ylab="Rate",type="l"); 
lines(year,BdefaultRate,col=2); 
lines(year,BBdefaultRate,col=3); 
lines(year,BBBdefaultRate,col=4); 
lines(year,AdefaultRate,col=5); 
momest(Bdefaults,Bobligors); 
pi.B <- momest(Bdefaults, Bobligors)[1]; 
pi2.B <- momest(Bdefaults, Bobligors)[2];
rhoY.B <- (pi2.B-pi.B^2)/(pi.B-pi.B^2); 
## End(Not run)

[Package QRMlib version 1.4 Index]