spdata.raw {QRMlib}R Documentation

Standard and Poors Default Data (timeSeries object)

Description

The spdata.raw timeSeries has 20 rows (dates) and 10 columns (obligors). 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 timeSeries contains the following 10 columns:
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.raw.df, spdata, momest

Examples

data(spdata.raw);
attach(spdata.raw); 
BdefaultRate <- Bdefaults/Bobligors;
#Get an array of BB default rates for the 20 years 1981-2000:
BBdefaultRate <- BBdefaults/BBobligors;
BBBdefaultRate <- BBBdefaults/BBBobligors; 
AdefaultRate <- Adefaults/Aobligors; 
CCCdefaultRate <- CCCdefaults/CCCobligors; 

[Package QRMlib version 1.4.4 Index]