spdata {QRMlib}R Documentation

Standard and Poors Default Data

Description

The spdata timeSeries dataset has 100 rows and 3 columns. It contains default data for A, BBB, BB, B and C-rated companies for the years 1981 to 2000

Usage

data(spdata)

Format

a matrix containing 100 rows and 4 columns.
The colums are:
rating rating category (A, BBB, BB, B, CCC)
firms number of companies in rating category
number of defaults number of companies defaulting in category

The rows are the years from 1981-2000

Author(s)

documentation by Scott Ulman for R-language distribution

Source

Standard and Poors Credit Monitor

See Also

spdata.df, spdata.raw, momest

Examples

#Must attach MASS and nlme libraries to run mixed effect regression model
library(MASS);
library(nlme);
#Load timeSeries:
data(spdata); #timeSeries
ratingval <- spdata@recordIDs$rating;
yearval <- as.numeric(spdata@recordIDs$DATE);
#Use R- library MASS to get glmmPQL which runs a mixed-effects model. 
#It will measure random effects and fixed effects.
#'year' -'ratings' determine the unique results(20 years 1981-2000 with 5 obligor 
#class ratings each year)
results <- glmmPQL(cbind(defaults,firms-defaults) ~ -1 + ratingval, 
     random = ~1| yearval, family=binomial(probit), data=spdata);
results;
summary(results);
summary(results)$tTable[,1];
detach("package:nlme");
detach("package:MASS");

[Package QRMlib version 1.4.4 Index]