Hi
I have a large credit portfolio (exceeding 50000 borrowers). For particular
process I need to add up the exposures based on the bands. I am giving a small
test data below.
rating <- c("A", "AAA", "A", "BBB","AA","A","BB", "BBB", "AA", "AA", "AA", "A",
"A", "AA","BB","BBB","AA", "A", "AAA","BBB","BBB", "BB", "A", "BB", "A", "AA",
"B","A", "AA", "BBB", "A", "BBB")
ead <- c(169229.93,100, 5877794.25, 9530148.63, 75040962.06, 21000, 1028360,
6000000, 17715000, 14430325.24, 1180946.57, 150000, 167490, 81255.16, 54812.5,
3000, 1275702.94, 9100, 1763142.3, 3283048.61, 1200000, 11800, 3000,
96894.02, 453671.72, 7590, 106065.24, 940711.67, 2443000, 9500000, 39000,
1501939.67)
## First I have sorted the data rating-wise as
df <- data.frame(rating, ead)
df_sorted <-
df[order(df$rating),]
df_sorted_AAA <- subset(df_sorted, rating=="AAA")
df_sorted_AA <- subset(df_sorted, rating=="AA")
df_sorted_A <- subset(df_sorted, rating=="A")
df_sorted_BBB <- subset(df_sorted, rating=="BBB")
df_sorted_BB <- subset(df_sorted, rating=="BB")
df_sorted_B <- subset(df_sorted, rating=="B")
df_sorted_CCC <- subset(df_sorted, rating=="CCC")
## we begin with BBB rating. The R output for df_sorted_BBB is as follows
> df_sorted_BBB
rating ead
4 BBB 9530149
8 BBB 6000000
16 BBB 3000
20 BBB 3283049
21 BBB 1200000
30 BBB 9500000
32 BBB 1501940
My problem is I need to totals of eads falling in the respective bands
I
am defining bands in millions as
seq_BBB <- seq(1000000, max(df_sorted_BBB$ead), by = 1000000)
# The output is
[1] 1e+06 2e+06 3e+06 4e+06 5e+06 6e+06 7e+06 8e+06 9e+06
So for the sub data pertaining to Rating "BBB", I want corresponding ead totals
i.e. I want ead totals where ead < 1e+06, then I want ead totals where 1+e06 <
ead < 2e+06, 2e+06 < ead < 3e+06 ...and so on.
I have tried the following code
s_BBB <- NULL
for (i in 1:length(s_BBB))
{
s_BBB[i] = sum(subset(df_sorted_BBB$ead, df_sorted_BBB$ead < s_BBB[i]))
}
I was trying to find totals of eads < 1e+06, ead < 2e+06, ead<3e+06 and so on.
but the result is
> s_BBB
[1] 0
I apologize if I am not able to express my problem properly. My only objective
is first to sort the whole portfolio rating-wise and then within each of these
rating-wise sorted data, I wish to find out total of eads based
on various bands starting <1000000, 1000000 - 200000, 2000000 - 3000000,
3000000 - 4000000 and so on. Since the database contains more than 50000
records, various ead amounts ranging from few 000's to billion are available.
Please guide
Thanking you all in advance
Vincy
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