data_cr_panel

A data set containing simulated credit ratings assigned by one rater and simulated perfomance measures for firms in different years.
<ul>
<li><code>rating</code> credit ratings</li>
<li><code>firm_id</code> firm index</li>
<li><code>year</code> year index</li>
<li><code>LR</code> liquidity ratio, relating the cash held by a company to the current liabilities</li>
<li><code>LEV</code> leverage ratio relating debt to earnings before interest and taxes</li>
<li><code>PR</code> profitability ratio of retained earnings to assets</li>
<li><code>RSIZE</code> log of relative size of the company in the market</li>
<li><code>BETA</code> a measure of systematic risk</li>
<li><code>BSEC</code> business sector of a firm (factor with 8 levels)</li>
</ul>

A flexible framework for fitting multivariate
ordinal regression models with composite likelihood methods. Methodological details are given in Hirk, Hornik, Vana (2020) <doi:10.18637/jss.v093.i04>.

Laura Vana

mvord

Multivariate Ordinal Regression Models

Rainer Hirk

Kurt Hornik

Alan Gentz

data_cr_panel function

A data frame with 11320 rows and 9 variables

data_cr_panel: Simulated panel of credit ratings

Description

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