spdata.raw {QRMlib} | R Documentation |
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
data(spdata.raw)
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
Standard & Poors Credit Monitor
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)