credloss

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.

datasets

Supplement for the book "Handbook of Regression Methods" by D. S. Young.  Some datasets used in the book are included and documented.  Wrapper functions are included that simplify the examples in the textbook, such as code for constructing a regressogram and expanding ANOVA tables to reflect the total sum of squares.

Derek S. Young

HoRM

Supplemental Functions and Datasets for "Handbook of Regression
Methods"

credloss function

This data frame consists of 5 variables over 24 years:<ul>
<li><code>year</code> The year the statistics were collected.</li>
<li><code>PD</code> The probability of default.</li>
<li><code>defs</code> The number of defaults.</li>
<li><code>LGD.mean</code> The mean loss given default.</li>
<li><code>LGD.vol</code> A loss given default volatility measure.</li>
</ul>

credloss: Credit Loss Dataset

Description

Usage

Arguments

Format

References