Lifetime PD Report Preview

📊 요약

Lifetime PD 분석 보고서
	생성일시: 2026-03-11 20:50

1. 모형 개요
	모형 구조	Z(t) = c + φ·Z(t-1) + β₁·X₁_std + β₂·X₂_std + β₃·X₃_std + ε
	모형 유형	AR(1) + Macro (Vasicek Single-Factor)
	적용 기준	IFRS 9 (2018, 2024 개정)
	변수 선택	HOUSING_PRICE, CURRENT_ACCOUNT, CREDIT_SPREAD_LAG1

2. AR(1) 모형 파라미터
	자기회귀 계수 (φ)	-0.3352
	반감기	0.6년
	절편 (c)	-0.1781
	β(HOUSING_PRICE)	0.6412
	β(CURRENT_ACCOUNT)	-0.1771
	β(CREDIT_SPREAD_LAG1)	-0.6439
	잔차 σ	0.3989
	장기 균형 Z	-0.1334

3. 모형 적합도
	R²	0.6667
	Adj. R²	0.6000
	F p-value	0.000130
	AIC	34.9959
	DW	2.8731

4. 시나리오 설정
	시나리오	가중치	HOUSING_PRICE (σ)	CURRENT_ACCOUNT (σ)	CREDIT_SPREAD_LAG1 (σ)	Z(t+1)
	호황 (Upside)	0.2000	1	1	-1	1.0527
	중립 (Base)	0.5000	0	0	0	-0.0553
	불황 (Downside)	0.3000	-1.5000	-1.5000	1.5000	-1.7174

5. 1년차 확률가중 PD (%)
		AAA	AA	A	BBB	BB	B	CCC
	가중PD(1Y)	0.0788	0.1085	0.2817	1.7066	6.4614	13.0089	31.6688

📊 원시데이터_전이행렬

전이행렬 파이프라인: Original → PD Floor → TTC

PD Floor 기준 (Basel III CRE30.4 + S&P/Moody's)
	등급	Floor PD (bp)
	AAA	5
	AA	5
	A	7
	BBB	20
	BB	60
	B	300

TTC 전이행렬 (PD Floor 적용 후, 1998~2025 평균)
	From\To	AAA	AA	A	BBB	BB	B	D
	AAA	0.9911	0.008428	0	0	0	0	0.000510
	AA	0.0173	0.9417	0.0367	0.003558	0.000007	0.000007	0.000733
	A	0	0.0532	0.8965	0.0429	0.001260	0.004052	0.002048
	BBB	0	0.000012	0.0659	0.8642	0.0343	0.0215	0.0140
	BB	0	0	0.003234	0.0435	0.8036	0.0877	0.0619
	B	0	0	0.000735	0.003678	0.0277	0.8248	0.1431
	D	0	0	0	0	0	0	1

연도별 D열 비교 (Original vs Floor Calibrated)
	연도	AAA(원시)	AA(원시)	A(원시)	BBB(원시)	BB(원시)	B(원시)
	연도	AAA	AA	A	BBB	BB	B
	1998(원시)	0	0	16.9400	105.83	1436.40	3944.30
	1998(보정)	5	5	16.9400	105.83	1436.40	3944.30
	1999(원시)	1.8000	2.5000	16.5700	106.39	198.15	1881.36
	1999(보정)	5	5	16.5700	106.39	198.15	1881.36
	2000(원시)	1.8200	5.0600	16.5200	101.54	333.23	983.95
	2000(보정)	5.0000	5.0600	16.5200	101.54	333.23	983.95
	2001(원시)	4.0600	7.9900	17.3600	149.54	499.89	1792.24
	2001(보정)	5.0000	7.9900	17.3600	149.54	499.89	1792.24
	2002(원시)	1.7800	8.3100	17.1900	129.25	479.37	2136.03
	2002(보정)	5.0000	8.3100	17.1900	129.25	479.37	2136.03
	2003(원시)	3.7700	7.7500	16.2300	108.94	500.14	867.74
	2003(보정)	5	7.7500	16.2300	108.94	500.14	867.74
	2004(원시)	5.7900	8.4200	17.7000	111.19	2047.86	2152.92
	2004(보정)	5.7900	8.4200	17.7000	111.19	2047.86	2152.92
	2005(원시)	5.4300	8.4900	17.9100	100.93	239.44	1652.70
	2005(보정)	5.4300	8.4900	17.9100	100.93	239.44	1652.70
	2006(원시)	3.5600	7.6400	15.8000	124.46	259.23	339.46
	2006(보정)	5.0000	7.6400	15.8000	124.46	259.23	339.46
	2007(원시)	5.1500	7.7700	18.9900	100.13	317.06	623.64
	2007(보정)	5.1500	7.7700	18.9900	100.13	317.06	623.64
	2008(원시)	3.4600	7.6000	16.0100	165.80	847.65	739.98
	2008(보정)	5	7.6000	16.0100	165.80	847.65	739.98
	2009(원시)	5.2000	7.4800	15.7600	122.28	1444.45	1310.57
	2009(보정)	5.2000	7.4800	15.7600	122.28	1444.45	1310.57
	2010(원시)	5.1000	7.4700	16.5900	127.38	1171.52	2557.17
	2010(보정)	5.1000	7.4700	16.5900	127.38	1171.52	2557.17
	2011(원시)	3.4000	7.4500	15.8700	234.21	530.64	1499.83
	2011(보정)	5.0000	7.4500	15.8700	234.21	530.64	1499.83
	2012(원시)	3.4200	7.5400	64.5399	222.52	811.32	3796.36
	2012(보정)	5	7.5400	64.5399	222.52	811.32	3796.36
	2013(원시)	1.7500	7.4500	15.7700	402.43	790.61	1011.51
	2013(보정)	5.0000	7.4500	15.7700	402.43	790.61	1011.51
	2014(원시)	5.1700	7.4200	68.6300	210.13	669.82	688.92
	2014(보정)	5.1700	7.4200	68.6300	210.13	669.82	688.92
	2015(원시)	5.4400	7.3400	17.1000	113.01	1003.99	1469.78
	2015(보정)	5.4400	7.3400	17.1000	113.01	1003.99	1469.78
	2016(원시)	5.1600	7.3400	15.9700	115.10	526.32	1094.35
	2016(보정)	5.1600	7.3400	15.9700	115.10	526.32	1094.35
	2017(원시)	3.3900	7.3600	17.8200	123.67	232.74	584.60
	2017(보정)	5	7.3600	17.8200	123.67	232.74	584.60
	2018(원시)	0	7.5200	17.6600	141.91	217.93	485.42
	2018(보정)	5	7.5200	17.6600	141.91	217.93	485.42
	2019(원시)	1.6900	7.5100	16.5700	108.98	721.38	1451.42
	2019(보정)	5	7.5100	16.5700	108.98	721.38	1451.42
	2020(원시)	5.0800	7.4300	15.9200	104.60	180.18	499.99
	2020(보정)	5.0800	7.4300	15.9200	104.60	180.18	499.99
	2021(원시)	5.1700	7.2500	16.5700	105.93	216.50	544.44
	2021(보정)	5.1700	7.2500	16.5700	105.93	216.50	544.44
	2022(원시)	3.4700	7.3400	16.6100	106.95	117.13	622.53
	2022(보정)	5	7.3400	16.6100	106.95	117.13	622.53
	2023(원시)	1.8000	7.6400	20.9400	160.26	982.60	2376.81
	2023(보정)	5	7.6400	20.9400	160.26	982.60	2376.81
	2024(원시)	5.1300	7.2700	17.4800	118.96	243.33	1196.36
	2024(보정)	5.1300	7.2700	17.4800	118.96	243.33	1196.36
	2025(원시)	5.1200	7.4100	16.5500	107.88	321.42	1764.13
	2025(보정)	5.1200	7.4100	16.5500	107.88	321.42	1764.13

📊 원시데이터_거시변수

원시 데이터: 거시경제변수

★ 선택 변수: HOUSING_PRICE, CURRENT_ACCOUNT, CREDIT_SPREAD_LAG1
	연도	HOUSING_PRICE	CURRENT_ACCOUNT	CREDIT_SPREAD_LAG1	GDP_GROWTH	UNEMPLOYMENT	BASE_RATE	CD_RATE	CPI_GROWTH	LEADING_INDEX	GOVT_3Y	CORP_AA	CORP_BBB	IPI	EXPORT	GOVT_10Y	IMPORT_AMT	USDKRW	M2	CSI	KOSPI	IMPORT_PRICE	DISHONOR_RATE	HOUSEHOLD_DEBT	FACILITY_INVEST	RETAIL_SALES	EMPLOYED	EMPLOYMENT_RATE	OIL_PRICE	COINCIDENT	BSI_MANUF	CONSTRUCTION_DONE	SPI	CONSTR_INVEST_GR	GFCF_GROWTH	SAVING_RATE	INVEST_RATE	TRADE_GNI	MANUF_CAPACITY	IPI_LAG1	EXPORT_DIFF
	2000	55.2000	123.50		8.9000	4.4000	5.2500	7.0900	2.3000	101.20	8.3500	9.3500	11.9000	102.50	172268	8.5500	160481	1131	651.80	101	504	78.5000	0.4600	194	62.5000	72	2115	58.5000	26.2000	99.8000	90	56.3000	58	-1.4000	11.4000	33.7000	31	72.5000	109.50
	2001	56.8000	80.3000	2.5500	4.5000	4	4	5.3400	4.1000	99.5000	6.7000	8.1200	11.2700	99.5000	150439	7.0500	141098	1291	736.50	96.5000	694	73.6000	0.2800	225	58.5000	73.5000	2118	59	22.8000	98	82	53.8000	60.2000	5.6000	0.6000	31.7000	29.3000	66.3000	105.80	102.50	-21829
	2002	65.3000	53.9000	3.1500	7.4000	3.3000	4.2500	4.9900	2.8000	102.30	6.0600	7.0200	9.7500	108.50	162471	6.5800	152126	1251	816.30	105	628	72.1000	0.1800	306	63.2000	76	2217	60	23.7000	101.50	92	55.2000	63.5000	6.5000	6.7000	31.3000	29.1000	62.4000	110.50	99.5000	12032
	2003	71.5000	119.50	2.7300	2.9000	3.6000	3.7500	4.2400	3.5000	98.8000	4.9300	5.7000	8.9700	109.80	193817	5.4500	178827	1192	879.20	96	811	81.3000	0.1200	360	60.5000	74	2212	59.5000	26.8000	99.2000	85	58	64.8000	10	4	32.6000	30	65	108.20	108.50	31346
	2004	71	284.20	3.2700	4.9000	3.7000	3.2500	3.7700	3.6000	100.50	4.1100	4.7200	7.5300	119.20	253845	4.7300	224463	1145	935.30	97	896	90.5000	0.0800	394	66.5000	74.5000	2272	59.8000	33.5000	100.80	88	63.5000	66	1.8000	2.1000	34.8000	30.3000	73.5000	113.80	109.80	60028
	2005	73.5000	149.80	2.8100	3.9000	3.7000	3.7500	3.8100	2.8000	101.80	4.2700	4.6800	6.5100	126	284419	4.9500	261238	1024	1002.70	100.50	1011	99.2000	0.0600	440	68	76.5000	2297	60.3000	49.3000	101.20	92	66	68.5000	-0.4000	1.9000	33.4000	29.7000	72.5000	114.50	119.20	30574
	2006	80.2000	53.9000	1.8300	5.2000	3.5000	4.5000	4.7200	2.2000	102.50	4.8300	5.2500	7.0800	136	325465	5.1700	309383	955	1089.90	106	1434	107.80	0.0500	497	73.5000	78.5000	2334	60.9000	61.5000	102.80	95	69.5000	71.2000	0.5000	3.4000	32.5000	29.6000	73.2000	115.80	126	41046
	2007	83.5000	59.5000	1.8300	5.5000	3.2000	5	5.3600	2.5000	103.10	5.2300	5.7000	7.4400	144.50	371489	5.4200	356846	929	1181.60	108.50	1897	109.30	0.0400	560	78.5000	80	2371	61.3000	68.4000	103.50	97	72.8000	74	1.4000	4.2000	32.4000	29.4000	77.8000	115.20	136	46024
	2008	84	-57.8000	1.7400	2.8000	3.2000	3	5.7000	4.7000	96.5000	5.2700	7.0200	10.7300	148.20	422007	5.5700	435275	1103	1263.20	86	1124	132.50	0.1100	630	76	79	2385	61.5000	94.3000	98.5000	72	74.5000	75.5000	-2.8000	-1.9000	31.5000	31.2000	96.5000	112.80	144.50	50518
	2009	84.8000	328.10	3.7100	0.8000	3.6000	2	2.6300	2.8000	98.2000	4.0400	5.8000	9.2400	140	363534	4.8500	323085	1276	1404.40	85	1683	104.20	0.1000	694	60.5000	77.5000	2355	60.1000	61.8000	96.5000	68	68.2000	76	0.2000	-1	31.4000	26.3000	82	102.50	148.20	-58473
	2010	87	282.10	3.4400	6.8000	3.7000	2.5000	2.8000	2.9000	103	3.7200	4.6600	7.9800	161.50	466384	4.4900	425212	1156	1504.30	107	2051	115.80	0.0600	776	80.5000	80.5000	2397	60.4000	78.1000	103	95	72	78.5000	-1.4000	5.8000	33.5000	29.5000	87.9000	113	140	102850
	2011	89.5000	184.10	3.3200	3.7000	3.4000	3.2500	3.5500	4	101.20	3.6200	4.4100	7.7500	168	555214	4.0500	524413	1108	1586.50	100	1826	130.20	0.0500	857	82	82	2424	60.7000	106	102.50	90	73.5000	80	-4.9000	0.8000	34	29.4000	96.7000	112.50	161.50	88830
	2012	89	508.40	3.3400	2.4000	3.2000	2.7500	3.1300	2.2000	100.30	3.1300	3.7600	6.5600	168.20	547870	3.3500	519584	1127	1673.50	100.50	1997	123.50	0.0400	934	79	83.5000	2468	61.3000	109.10	100.50	85	72	82.5000	-3.2000	-0.5000	33.8000	28.4000	96.8000	110.20	168	-7344
	2013	88.8000	812.10	2.8000	3.2000	3.1000	2.5000	2.7200	1.3000	100.80	2.7900	3.1900	5.8700	168.80	559632	3.2800	515586	1095	1756.20	103	2011	115	0.0400	980	77.5000	85	2503	61.6000	105.50	101	88	71.5000	84	5.4000	3.3000	34	28.7000	93.2000	108	168.20	11762
	2014	90.2000	843.50	2.6800	3.2000	3.5000	2	2.3600	1.3000	101	2.5600	2.9900	5.2200	168.50	572665	2.9200	525515	1053	1871	104	1916	105.60	0.0400	1050	81	86.5000	2546	62.4000	96.7000	101.50	90	73.8000	86	1.1000	3.1000	34.5000	29	87.6000	108.80	168.80	13033
	2015	95	1059.40	2.2300	2.8000	3.6000	1.5000	1.7200	0.7000	100.50	1.8000	2.1800	4.6100	168	526757	2.2500	436499	1131	2010	103.50	1961	79.5000	0.0300	1145	84.5000	88	2567	62.6000	51.2000	101	86	77.5000	88.5000	9.1000	5.1000	36	28.8000	79.8000	107.20	168.50	-45908
	2016	97.5000	992.40	2.4300	2.9000	3.7000	1.2500	1.4800	1	99.8000	1.4400	1.8800	4.6000	168.50	495426	1.8000	406193	1161	2151.10	100	2026	78	0.0300	1250	82	89.5000	2597	63	41.3000	100.20	85	89.5000	90	10.3000	5.6000	36.4000	29.2000	74.5000	106	168	-31331
	2017	100	752.60	2.7200	3.2000	3.7000	1.5000	1.5200	1.9000	101.50	1.8000	2.2800	4.8300	174.20	573694	2.3300	478478	1131	2347.20	105	2467	90.5000	0.0200	1364	92	92	2620	63.2000	53.1000	101.80	92	90	92.5000	7.3000	9.8000	36.6000	31.1000	77.3000	107.50	168.50	78268
	2018	102	774.70	2.5500	2.9000	3.8000	1.7500	1.8500	1.5000	100.80	2.1000	2.6700	5.4100	178	604860	2.5600	535202	1100	2508.90	102	2041	100	0.0300	1497	94.5000	94	2633	63.1000	69.5000	101.50	88	85.5000	94.5000	-4.6000	-2.4000	35.9000	30.3000	77.3000	107	174.20	31166
	2019	104.50	597	2.7400	2.2000	3.8000	1.2500	1.6300	0.4000	99.3000	1.5000	1.9300	4.5200	175.50	542233	1.7400	503343	1166	2694	97	2198	92.5000	0.0300	1573	89	96.5000	2660	63.5000	63.4000	100	82	82	97	-3.1000	-2.1000	34.6000	30.5000	72.1000	102.80	178	-62627
	2020	110	752.80	2.5900	-0.7000	4	0.5000	0.7600	0.5000	97	0.9800	2.0300	5.2500	170	512498	1.5200	467633	1180	3070.20	90	2873	85	0.0200	1723	100	100	2630	62.5000	42.3000	97.5000	76	79	100	-0.1000	2.6000	36.3000	31.3000	65.8000	100	175.50	-29735
	2021	122	883	3.2200	4.3000	3.7000	1	1.0900	2.5000	102.80	1.4300	2.2600	5.6400	183	644400	2.1200	615093	1144	3415.80	106	2978	110.50	0.0100	1853	108.50	105	2672	63.8000	69.3000	103	96	77.5000	104.50	-1.5000	3.1000	35.8000	31.6000	74.5000	105.20	170	131902
	2022	128	258.30	3.3800	2.6000	2.9000	3.2500	3.7700	5.1000	99.2000	3.1400	4.2500	8.1800	186.50	683585	3.6000	731370	1292	3561	95	2237	140.20	0.0200	1903	105	107.50	2726	64.5000	97	100.50	85	76	108	-3.5000	-0.7000	34.5000	31.8000	85.2000	104.50	183	39185
	2023	118	355.20	3.9300	1.4000	2.7000	3.5000	3.7500	3.6000	98.8000	3.5500	4.4000	8.4000	183	632744	3.7800	642756	1305	3680	96.5000	2655	120	0.0300	1920	102	106	2750	65	82.5000	99.2000	80	72	109.50	-0.5000	1.5000	34	30.8000	80.5000	101	186.50	-50841
	2024	115	380	4	2.2000	2.8000	3	3.3000	2.3000	99.5000	3.2000	3.9000	7.5000	185	660000	3.4200	650000	1350	3800	98	2400	115	0.0300	1950	103.50	105.50	2760	65.2000	80	99.5000	82	68	110	-3.3000	0.8000	33.5000	30	82	101.50	183	27256
	2025	112	350	3.6000	1.8000	3	2.7500	3	1.8000	99.8000	2.8000	3.5000	6.8000	184	650000	3.1000	640000	1380	3900	99	2500	110	0.0300	1980	104	106	2770	65.5000	75	100	84	65	111	-2	1	33	29.5000	81	101	185	-10000

📊 Zt_추정

Zt 추정 (Belkin & Suchower 1998)

방법론: 관측 전이행렬 역산 → WLS → Zt
	자산상관계수 (ρ)	0.2000

ρ = 0.20 근거
	[1] Basel III IRB: 기업 ρ = 0.12~0.24 (CRE31.6)
	R = 0.12×(1-e^(-50×PD))/(1-e^(-50)) + 0.24×(1-(1-e^(-50×PD))/(1-e^(-50)))
	[2] BBB(PD≈0.2%) → R=0.208, A(PD≈0.07%) → R=0.217
	[3] 한국 기업 포트폴리오 평균: ρ ≈ 0.20 (투자/투기 혼합)
	[4] Moody's Analytics CreditEdge: single-factor ρ ≈ 0.15~0.25

	Zt 평균 (μ)	-0.2001
	Zt 표준편차 (σ)	0.7673
	관측 기간	1998~2025 (28개년)

	연도	Zt	HOUSING_PRICE	CURRENT_ACCOUNT	CREDIT_SPREAD_LAG1
	1998	-2.1505
	1999	-0.8673
	2000	0.0862	55.2000	123.50
	2001	-0.7190	56.8000	80.3000	2.5500
	2002	-0.8970	65.3000	53.9000	3.1500
	2003	-0.0819	71.5000	119.50	2.7300
	2004	-1.3041	71	284.20	3.2700
	2005	-0.3216	73.5000	149.80	2.8100
	2006	1.4361	80.2000	53.9000	1.8300
	2007	0.4562	83.5000	59.5000	1.8300
	2008	0.4385	84	-57.8000	1.7400
	2009	-0.6293	84.8000	328.10	3.7100
	2010	-1.0651	87	282.10	3.4400
	2011	0.000684	89.5000	184.10	3.3200
	2012	-1.1979	89	508.40	3.3400
	2013	-0.4545	88.8000	812.10	2.8000
	2014	0.9161	90.2000	843.50	2.6800
	2015	-0.4494	95	1059.40	2.2300
	2016	-0.0127	97.5000	992.40	2.4300
	2017	0.4831	100	752.60	2.7200
	2018	0.6004	102	774.70	2.5500
	2019	-0.2213	104.50	597	2.7400
	2020	0.5464	110	752.80	2.5900
	2021	0.4557	122	883	3.2200
	2022	0.5197	128	258.30	3.3800
	2023	-0.9198	118	355.20	3.9300
	2024	0.1165	115	380	4
	2025	-0.3662	112	350	3.6000

📊 AR1_모형

AR(1) + Macro 회귀 모형

Z(t) = c + φ·Z(t-1) + Σ βᵢ·Xᵢ_std(t) + ε(t)
	※ 거시변수는 표준화(mean=0, std=1) 후 투입. β = '1σ 충격 → ΔZ'로 해석

회귀 계수
	변수	계수	표준오차	t값	p값	유의성
	const	-0.1781	0.0911	-1.9541	0.0648	*
	Z_lag1	-0.3352	0.1488	-2.2529	0.0357	**
	HOUSING_PRICE	0.6412	0.1341	4.7800	0.000114	***
	CURRENT_ACCOUNT	-0.1771	0.1069	-1.6570	0.1131
	CREDIT_SPREAD_LAG1	-0.6439	0.1099	-5.8605	0.000010	***

모형 진단 통계
	R²	0.6667
	Adj. R²	0.6000
	F 통계량	10.0014
	F p-value	0.000130
	AIC	34.9959
	Durbin-Watson	2.8731

거시변수 표본 통계 (표준화 전 원시값)
	변수	평균	표준편차	최근값
	HOUSING_PRICE	91.3192	19.3527	112
	CURRENT_ACCOUNT	422.33	334.75	350
	CREDIT_SPREAD_LAG1	2.9036	0.6262	3.6000

변수별 경제적 해석
	HOUSING_PRICE	β=+0.6412 (+)	주택가격↑ → 담보가치↑ → 차입여력↑ → 부도↓ → Z↑
	CURRENT_ACCOUNT	β=-0.1771 (−)	경상수지↑(흑자) → 불황기 수출의존↑ → Z↓ (한국 특수 패턴)
	CREDIT_SPREAD_LAG1	β=-0.6439 (−)	전년 스프레드↑ → 당해 신용위험 전이 → 부도↑ → Z↓ (시차 효과)

📊 시나리오_Z경로

시나리오별 Z(t) 경로

t=1: 거시 충격 적용 \| t≥2: AR(1) 감쇠 → TTC 수렴

	연도(t+k)	호황 (Upside)	중립 (Base)	불황 (Downside)
	1	1.0527	-0.0553	-1.7174
	2	-0.5309	-0.1595	0.3975
	3	-0.000133	-0.1246	-0.3113
	4	-0.1781	-0.1363	-0.0737
	5	-0.1184	-0.1324	-0.1534
	6	-0.1384	-0.1337	-0.1267
	7	-0.1317	-0.1333	-0.1356
	8	-0.1340	-0.1334	-0.1326
	9	-0.1332	-0.1334	-0.1336
	10	-0.1335	-0.1334	-0.1333
	15	-0.1334	-0.1334	-0.1334
	20	-0.1334	-0.1334	-0.1334
	25	-0.1334	-0.1334	-0.1334
	30	-0.1334	-0.1334	-0.1334
	40	-0.1334	-0.1334	-0.1334
	50	-0.1334	-0.1334	-0.1334

📊 Lifetime_PD

시나리오별 누적 Lifetime PD (%)

호황 (Upside) (가중치 20%)
	시나리오	연도	AAA	AA	A	BBB	BB	B	CCC
	호황 (Upside)	1	0.001305	0.002038	0.007820	0.1078	0.8244	2.5111	11.0291
	호황 (Upside)	2	0.0334	0.0489	0.1523	1.2209	6.1478	14.3028	30.5701
	호황 (Upside)	3	0.0454	0.0712	0.2728	2.0723	9.7869	21.5086	39.4917
	호황 (Upside)	5	0.0774	0.1449	0.7004	4.5770	18.5657	35.8879	52.8646
	호황 (Upside)	7	0.1092	0.2499	1.3212	7.5916	27.1785	47.4539	62.0428
	호황 (Upside)	10	0.1584	0.4910	2.6113	12.7192	39.0549	60.7263	72.0198
	호황 (Upside)	15	0.2491	1.1786	5.5874	21.7816	55.0271	75.2884	82.7164
	호황 (Upside)	20	0.3584	2.2744	9.2994	30.3966	66.4407	83.9785	89.0086
	호황 (Upside)	30	0.6701	5.6406	17.6391	44.4615	79.7891	92.5201	95.0957
	호황 (Upside)	50	1.8493	15.2686	33.0938	61.2940	89.5458	97.3332	98.4190

중립 (Base) (가중치 50%)
	시나리오	연도	AAA	AA	A	BBB	BB	B	CCC
	중립 (Base)	1	0.0131	0.0193	0.0626	0.5973	3.2599	8.0151	25.1118
	중립 (Base)	2	0.0291	0.0456	0.1786	1.5138	7.4367	16.7838	40.3810
	중립 (Base)	3	0.0443	0.0746	0.3382	2.6152	11.7983	24.7793	49.7632
	중립 (Base)	5	0.0755	0.1523	0.8153	5.3791	20.9219	38.8003	61.4840
	중립 (Base)	7	0.1073	0.2648	1.5026	8.6767	29.8387	50.1129	69.1802
	중립 (Base)	10	0.1567	0.5216	2.9118	14.2067	41.9948	63.0198	77.3817
	중립 (Base)	15	0.2480	1.2463	6.1132	23.8192	58.1023	77.0581	86.1044
	중립 (Base)	20	0.3583	2.3902	10.0534	32.8144	69.4296	85.3543	91.2138
	중립 (Base)	30	0.6727	5.8734	18.7773	47.2255	82.3953	93.4112	96.1343
	중립 (Base)	50	1.8588	15.7497	34.6026	63.9444	91.4614	97.8386	98.7959

불황 (Downside) (가중치 30%)
	시나리오	연도	AAA	AA	A	BBB	BB	B	CCC
	불황 (Downside)	1	0.2401	0.3283	0.8295	4.6213	15.5554	28.3305	56.3571
	불황 (Downside)	2	0.2463	0.3471	1.0083	5.5513	18.4195	33.1617	63.4497
	불황 (Downside)	3	0.2689	0.4089	1.4462	7.5656	23.7982	40.9283	70.4479
	불황 (Downside)	5	0.3005	0.5393	2.3388	11.2799	32.6050	52.0021	77.5624
	불황 (Downside)	7	0.3341	0.7284	3.4487	15.3342	40.9153	60.9306	82.1168
	불황 (Downside)	10	0.3884	1.1346	5.4544	21.6124	51.8620	71.0807	86.9009
	불황 (Downside)	15	0.4951	2.1663	9.4855	31.7065	65.8925	82.0951	91.9642
	불황 (Downside)	20	0.6316	3.6412	14.0208	40.6129	75.5089	88.5935	94.9255
	불황 (Downside)	30	1.0301	7.7128	23.3321	54.2014	86.2731	94.8930	97.7739
	불황 (Downside)	50	2.4554	18.1998	39.0619	69.2061	93.5729	98.3429	99.3113

📊 가중평균_PD

확률가중 Lifetime PD (%)

PD_weighted(t) = Σ w_s × PD_s(t)
	= 20%×호황 (Upside) + 50%×중립 (Base) + 30%×불황 (Downside)

	연도	AAA	AA	A	BBB	BB	B	CCC
	1	0.0788	0.1085	0.2817	1.7066	6.4614	13.0089	31.6688
	2	0.0952	0.1367	0.4223	2.6665	10.4737	21.2010	45.3394
	3	0.1119	0.1742	0.6575	3.9917	14.9960	28.9699	53.9143
	5	0.1434	0.2669	1.2494	6.9889	23.9556	42.1784	64.5837
	7	0.1757	0.4009	2.0501	10.4570	32.6296	52.8264	71.6337
	10	0.2265	0.6994	3.6145	16.1309	44.3670	64.9794	79.1651
	15	0.3224	1.5088	7.0197	25.7778	59.8243	78.2153	87.1847
	20	0.4403	2.7423	11.0928	34.6704	70.6556	86.0509	91.8863
	30	0.7794	6.3787	19.9161	48.7655	83.0374	93.6775	96.4184
	50	2.0359	16.3885	35.6386	64.9928	91.7117	97.8888	98.8751

📊 검증결과

통계적 검증 결과

	검정	대상	통계량	p-value	결과	해석
	ADF (Augmented Dickey-Fuller)	Zt 시계열	-4.8749	0.0000	Pass O	정상 시계열 (p=0.0000, α=0.05)
	Shapiro-Wilk Normality Test	Zt 시계열	0.9818	0.8921	Pass O	정규분포 (p=0.8921, α=0.05)
	Ljung-Box Q-test	잔차 자기상관	12.2306	0.0318	Fail X	자기상관 존재 (DW=2.873, LB p=0.0318)
	Breusch-Pagan / ARCH-LM	잔차 이분산	BP=3.3425	0.5022	Pass O	등분산 (BP p=0.5022, ARCH p=0.9545)
	R² / F-test	모형 설명력	R²=0.6667	0.0001	Pass O	R²=0.667, Adj.R²=0.600
	PD Properties	Cumulative PD (upside)	-	-	Pass O	모든 검증 통과
	PD Properties	Cumulative PD (base)	-	-	Pass O	모든 검증 통과
	PD Properties	Cumulative PD (downside)	-	-	Pass O	모든 검증 통과