feat(model): KAP YTM PD floor integration, expanded 226-var search, ADF fix (AIC->BIC), Model#2 with 6-test diagnostics
- Replace hardcoded DEFAULT_PD_FLOORS with build_complete_pd_floor_table() (KAP bond YTM) - Fix ADF test: autolag='AIC' -> 'BIC' for small sample (N=26) robustness - Expand variable search: 40 -> 226 vars (log/diff/return/lag2), 1.9M combos - Select Model #2: HOUSING_PRICE + CREDIT_SPREAD_LAG1 + CURRENT_ACCOUNT_R - Add 6-test diagnostics table to AR1 sheet (ADF/LB/DW/BP/ARCH/Shapiro) - Add Korean variable names for transformed variables - Generate report v7 with full diagnostics
This commit is contained in:
Variet Agent
692
reports/generate_report.py
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692
reports/generate_report.py
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"""
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Lifetime PD 분석 보고서 생성기 (Excel)
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사용법:
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python reports/generate_report.py
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python reports/generate_report.py --config config.yaml --output results/report.xlsx
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다중 시트 구성:
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1. 요약 (Summary) — 모형 개요, 핵심 파라미터, 결론
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2. 원시데이터_전이행렬 — 연도별 전이행렬, TTC 행렬
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3. 원시데이터_거시변수 — ECOS 거시경제변수 시계열
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4. Zt_추정 — Belkin & Suchower Zt 역산 결과
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5. AR1_모형 — AR(1)+Macro 회귀 결과, 계수, 진단
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6. 시나리오_Z경로 — 3 시나리오별 50년 Zt 경로
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7. Lifetime_PD — 시나리오별 누적 PD term structure
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8. 가중평균_PD — 확률가중 최종 PD
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9. 검증결과 — 통계 검정 결과
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"""
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import sys, io, os, argparse, math
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sys.path.insert(0, os.path.join(os.path.dirname(__file__), '..'))
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if sys.stdout.encoding != 'utf-8':
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sys.stdout = io.TextIOWrapper(sys.stdout.buffer, encoding='utf-8', errors='replace')
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import numpy as np
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import pandas as pd
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import yaml
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from datetime import datetime
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from openpyxl import Workbook
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from openpyxl.styles import Font, PatternFill, Alignment, Border, Side
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from openpyxl.utils import get_column_letter
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from data.transition_matrices import (
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load_transition_matrices, compute_ttc_matrix,
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RATING_GRADES, RATING_GRADES_8
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)
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from data.ccc_interpolator import expand_to_8x8
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from data.macro_data import _fallback_macro_data, compute_derived_features
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from data.ecos_fetcher import load_macro_data as load_ecos_macro
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from models.credit_cycle import estimate_zt_series
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from models.macro_model import build_macro_zt_model
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from scenarios.scenario_engine import ScenarioEngine
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from projection.lifetime_pd import LifetimePDEngine
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from validation.statistical_tests import run_full_validation
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# ================================================================
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# 스타일 정의
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# ================================================================
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NAVY = "1F3864"
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DARK_BLUE = "2B5797"
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LIGHT_BLUE = "D6E4F0"
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LIGHTER_BLUE = "EDF2F9"
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WHITE = "FFFFFF"
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BORDER_CLR = "B4C6E7"
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TITLE_FONT = Font(name="맑은 고딕", size=16, bold=True, color=WHITE)
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HEADER_FONT = Font(name="맑은 고딕", size=10, bold=True, color=WHITE)
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SUBHEADER_FONT = Font(name="맑은 고딕", size=10, bold=True, color=NAVY)
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BODY_FONT = Font(name="맑은 고딕", size=9)
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BODY_BOLD = Font(name="맑은 고딕", size=9, bold=True)
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SMALL_FONT = Font(name="맑은 고딕", size=8, color="666666")
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NUM_FONT = Font(name="Consolas", size=9)
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PASS_FONT = Font(name="맑은 고딕", size=9, bold=True, color="2E7D32")
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FAIL_FONT = Font(name="맑은 고딕", size=9, bold=True, color="C62828")
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TITLE_FILL = PatternFill("solid", fgColor=NAVY)
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HEADER_FILL = PatternFill("solid", fgColor=DARK_BLUE)
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SUBHEADER_FILL = PatternFill("solid", fgColor=LIGHT_BLUE)
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ALT_FILL = PatternFill("solid", fgColor=LIGHTER_BLUE)
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PASS_FILL = PatternFill("solid", fgColor="E2EFDA")
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FAIL_FILL = PatternFill("solid", fgColor="FCE4EC")
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THIN_BORDER = Border(
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left=Side(style='thin', color=BORDER_CLR),
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right=Side(style='thin', color=BORDER_CLR),
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top=Side(style='thin', color=BORDER_CLR),
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bottom=Side(style='thin', color=BORDER_CLR)
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)
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CENTER = Alignment(horizontal='center', vertical='center', wrap_text=True)
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LEFT = Alignment(horizontal='left', vertical='center', wrap_text=True)
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RIGHT = Alignment(horizontal='right', vertical='center')
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NUM4 = '0.0000'
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NUM2 = '0.00'
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def _widths(ws, widths):
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for i, w in enumerate(widths, 1):
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ws.column_dimensions[get_column_letter(i)].width = w
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def _title(ws, row, text, ncols=10):
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ws.merge_cells(start_row=row, start_column=1, end_row=row, end_column=ncols)
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c = ws.cell(row=row, column=1, value=text)
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c.font = TITLE_FONT; c.fill = TITLE_FILL; c.alignment = LEFT
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ws.row_dimensions[row].height = 35
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def _section(ws, row, text, ncols=10):
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ws.merge_cells(start_row=row, start_column=1, end_row=row, end_column=ncols)
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c = ws.cell(row=row, column=1, value=text)
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c.font = SUBHEADER_FONT; c.fill = SUBHEADER_FILL; c.alignment = LEFT
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ws.row_dimensions[row].height = 22
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return row + 1
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def _headers(ws, row, hdrs):
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for j, h in enumerate(hdrs, 1):
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c = ws.cell(row=row, column=j, value=h)
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c.font = HEADER_FONT; c.fill = HEADER_FILL; c.alignment = CENTER; c.border = THIN_BORDER
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return row + 1
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def _row(ws, row, vals, alt=False, fmt=None):
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fill = ALT_FILL if alt else PatternFill()
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for j, v in enumerate(vals, 1):
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c = ws.cell(row=row, column=j, value=v)
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c.font = NUM_FONT if isinstance(v, (int, float, np.floating, np.integer)) else BODY_FONT
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c.fill = fill; c.border = THIN_BORDER
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c.alignment = RIGHT if isinstance(v, (int, float, np.floating, np.integer)) else LEFT
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if fmt and isinstance(v, (float, np.floating)):
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c.number_format = fmt
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return row + 1
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def _kv(ws, row, key, value, col=2, fmt=None):
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ws.cell(row=row, column=col, value=key).font = BODY_BOLD
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cell = ws.cell(row=row, column=col+1, value=value)
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cell.font = NUM_FONT if isinstance(value, (int, float, np.floating)) else BODY_FONT
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if fmt and isinstance(value, (float, np.floating)):
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cell.number_format = fmt
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return row + 1
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# ================================================================
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# 시트 생성
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# ================================================================
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def sheet_summary(wb, config, model, zt_dict, diag, z_paths, val_df, pd_engine, pd_results, grades):
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ws = wb.active; ws.title = "요약"
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_widths(ws, [3,25,18,18,18,18,12,12,12,12])
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r = 1; _title(ws, r, " Lifetime PD 분석 보고서", 10)
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r = 2; ws.cell(row=r, column=2, value=f"생성일시: {datetime.now().strftime('%Y-%m-%d %H:%M')}").font = SMALL_FONT
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r = 4
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# 1. 모형 개요
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r = _section(ws, r, " 1. 모형 개요", 10)
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r = _kv(ws, r, "모형 구조", "Z(t) = c + φ·Z(t-1) + β₁·X₁_std + β₂·X₂_std + β₃·X₃_std + ε")
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r = _kv(ws, r, "모형 유형", "AR(1) + Macro (Vasicek Single-Factor)")
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r = _kv(ws, r, "적용 기준", "IFRS 9 (2018, 2024 개정)")
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r = _kv(ws, r, "변수 선택", ", ".join(model.selected_vars))
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r += 1
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# 2. AR(1) 파라미터
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r = _section(ws, r, " 2. AR(1) 모형 파라미터", 10)
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r = _kv(ws, r, "자기회귀 계수 (φ)", model.ar1_phi, fmt=NUM4)
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phi = model.ar1_phi
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hl = math.log(2)/abs(math.log(abs(phi))) if 0<abs(phi)<1 else float('inf')
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r = _kv(ws, r, "반감기", f"{hl:.1f}년")
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r = _kv(ws, r, "절편 (c)", model.ar1_const, fmt=NUM4)
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for var, beta in model.ar1_beta.items():
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r = _kv(ws, r, f"β({var})", beta, fmt=NUM4)
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r = _kv(ws, r, "잔차 σ", model.ar1_sigma_eps, fmt=NUM4)
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lr = model.ar1_const / (1 - model.ar1_phi) if abs(model.ar1_phi) < 1 else 0
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r = _kv(ws, r, "장기 균형 Z", lr, fmt=NUM4)
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r += 1
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# 3. 적합도
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r = _section(ws, r, " 3. 모형 적합도", 10)
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r = _kv(ws, r, "R²", diag.get("r_squared",0), fmt=NUM4)
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r = _kv(ws, r, "Adj. R²", diag.get("adj_r_squared",0), fmt=NUM4)
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r = _kv(ws, r, "F p-value", diag.get("f_pvalue",0), fmt=NUM4)
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r = _kv(ws, r, "AIC", diag.get("aic",0), fmt=NUM2)
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r = _kv(ws, r, "DW", diag.get("durbin_watson",0), fmt=NUM4)
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r += 1
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# 4. 시나리오
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r = _section(ws, r, " 4. 시나리오 설정", 10)
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hdrs = ["", "시나리오", "가중치"]
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for v in model.selected_vars:
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hdrs.append(f"{v} (σ)")
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hdrs.append("Z(t+1)")
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r = _headers(ws, r, hdrs)
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for sname, scfg in config.get("scenarios", {}).items():
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vals = [None, scfg.get("name", sname), scfg.get("weight", 0)]
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for v in model.selected_vars:
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vals.append(scfg.get("macro_shocks", {}).get(v, 0))
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z1 = z_paths.get(sname, [0])[0] if z_paths else 0
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vals.append(float(z1))
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r = _row(ws, r, vals, alt=(sname=="base"), fmt=NUM4)
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r += 1
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# 5. 1년차 가중 PD
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r = _section(ws, r, " 5. 1년차 확률가중 PD (%)", 10)
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r = _headers(ws, r, ["", ""] + list(grades[:-1]))
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by_sc = pd_results.get("by_scenario", pd_results)
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wcpd = pd_results.get("weighted_cumulative_pd", None)
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if wcpd is not None and wcpd.shape[0] > 0:
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wpd = wcpd[0, :len(grades)-1] * 100
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else:
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wpd = np.zeros(len(grades)-1)
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vals = [None, "가중PD(1Y)"] + list(wpd)
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r = _row(ws, r, vals, fmt=NUM4)
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def sheet_tm(wb, tm_raw, tm_floor, ttc, pd_floors, config):
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ws = wb.create_sheet("원시데이터_전이행렬")
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grades = config.get("model",{}).get("rating_grades", RATING_GRADES)
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ng = len(grades)
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_widths(ws, [3,12]+[12]*ng)
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nc = 2+ng; r=1
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_title(ws, r, " 전이행렬 파이프라인: Original → PD Floor → TTC", nc)
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r=3
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# KAP 채권 YTM 기반 PD Floor 산출 과정
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from data.ytm_fetcher import get_ytm_data, compute_spreads, compute_broad_grade_spreads
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from data.pd_floor import compute_market_implied_pd
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ytm_data = get_ytm_data()
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notch_spreads = compute_spreads(ytm_data)
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broad_spreads = compute_broad_grade_spreads(notch_spreads)
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lgd = 0.60
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rf = ytm_data.get('rf', 0)
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r = _section(ws, r, " KAP 채권 YTM → 신용스프레드 → 시장내재 PD (Floor 산출 근거)", nc)
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hdr_ytm = ["", "등급", "KAP YTM(%)", "스프레드(bp)", "내재PD(bp)", "Basel III(bp)", "적용Floor(bp)"]
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while len(hdr_ytm) < 2 + ng:
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hdr_ytm.append("")
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r = _headers(ws, r, hdr_ytm[:2 + ng])
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floor_grades = ["AAA", "AA", "A", "BBB", "BB", "B"]
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for fg in floor_grades:
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ytm_val = None
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for notch in [fg, fg + '+', fg + '-']:
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if notch in ytm_data:
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ytm_val = ytm_data[notch]
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break
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if ytm_val is None:
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ytm_val = rf
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sp = broad_spreads.get(fg, 0)
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implied_pd = compute_market_implied_pd(sp, lgd) * 10000
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applied = pd_floors.get(fg, 0) * 10000
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v = [None, fg, ytm_val, sp, implied_pd, 5, applied]
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while len(v) < 2 + ng:
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v.append(None)
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r = _row(ws, r, v[:2 + ng], fmt=NUM2)
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ws.cell(row=r, column=2,
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value=f"기준일: 2025-12-31, 국고1Y: {rf}%, LGD: 60%, 출처: KAP(한국자산평가)").font = SMALL_FONT
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r += 1
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ws.cell(row=r, column=2,
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value="산식: Implied PD = 1 - exp(-spread_bp / (LGD×10000)), Floor = max(Implied PD, Basel 5bp)").font = SMALL_FONT
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r += 2
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# TTC 전이행렬
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r = _section(ws, r, f" TTC 전이행렬 (PD Floor 적용 후, {min(tm_floor.keys())}~{max(tm_floor.keys())} 평균)", nc)
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r = _headers(ws, r, ["","From\\To"]+grades)
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for i,g in enumerate(grades):
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vals = [None,g]+[ttc[i,j] for j in range(min(ng,ttc.shape[1]))]
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r = _row(ws, r, vals, alt=i%2==1, fmt=NUM4)
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r += 1
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# 전체 연도별 전이행렬 (Floor 적용 후)
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for year in sorted(tm_floor.keys()):
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r = _section(ws, r, f" {year}년 전이행렬 (PD Floor 적용 후)", nc)
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r = _headers(ws, r, ["","From\\To"]+grades)
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mat = tm_floor[year]
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for i,g in enumerate(grades):
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if i < mat.shape[0]:
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vals = [None,g]+[mat[i,j] for j in range(min(ng,mat.shape[1]))]
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r = _row(ws, r, vals, alt=i%2==1, fmt=NUM4)
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r += 1
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# 영문→한글 변수명 매핑
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VAR_KOR = {
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"GDP_GROWTH": "GDP성장률(%)", "IPI": "광공업생산지수", "SPI": "서비스업생산지수",
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"MANUF_CAPACITY": "제조업가동률", "GFCF_GROWTH": "총고정자본증감률",
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"CONSTR_INVEST": "건설투자증감률", "FACILITY_INVEST": "설비투자지수",
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"RETAIL_SALES": "소매판매액지수", "CSI": "소비자심리지수", "BSI_MANUF": "제조업BSI",
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"LEADING_INDEX": "경기선행지수", "COINCIDENT": "경기동행지수",
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"EXPORT": "수출(백만달러)", "IMPORT_AMT": "수입(백만달러)",
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"TRADE_GNI": "수출입/GNI(%)", "KOSPI": "KOSPI지수",
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"INVEST_RATE": "국내총투자율(%)", "SAVING_RATE": "총저축률(%)",
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"HOUSING_PRICE": "주택매매가격지수",
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"UNEMPLOYMENT": "실업률(%)", "EMPLOYMENT": "고용률(%)",
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"EMPLOYED": "취업자수(만명)", "EMPLOYMENT_RATE": "고용률(%)",
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"BASE_RATE": "기준금리(%)", "CD_RATE": "CD91일(%)",
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"GOVT_3Y": "국고3Y(%)", "GOVT_10Y": "국고10Y(%)",
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"CORP_AA": "회사체AA-(%)", "CORP_BBB": "회사체BBB-(%)",
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"CPI_GROWTH": "소비자물가상승률(%)", "IMPORT_PRICE": "수입물가지수",
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"PPI": "생산자물가지수", "USDKRW": "원/달러환율",
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"M2": "M2광의통화(조원)", "DISHONOR_RATE": "어음부도율(%)",
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"DISHONOR_AMT": "부도금액(억원)", "HOUSEHOLD_DEBT": "가계부채(조원)",
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"CONSTRUCTION": "건설수주액(억원)", "CONSTRUCTION_DONE": "건설기성액",
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"CREDIT_SPREAD": "신용스프레드(BBB-AA)", "TERM_SPREAD": "기간스프레드(10Y-3Y)",
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"CREDIT_SPREAD_LAG1": "신용스프레드(t-1)",
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"EXPORT_DIFF": "수출증감액", "IPI_LAG1": "광공업생산(t-1)",
|
||||
"CONSTR_INVEST_GR": "건설투자증가율", "CURRENT_ACCOUNT": "경상수지",
|
||||
}
|
||||
# 변환 변수 한글명 자동 생성
|
||||
TRANSFORM_SUFFIX = {"_LAG2": "(t-2)", "_L": "(log)", "_D": "(차분)",
|
||||
"_R": "(수익률)", "_LR": "(log수익률)"}
|
||||
|
||||
def _kor(varname):
|
||||
if varname in VAR_KOR:
|
||||
return VAR_KOR[varname]
|
||||
for sfx, label in TRANSFORM_SUFFIX.items():
|
||||
if varname.endswith(sfx):
|
||||
base = varname[:-len(sfx)]
|
||||
base_kor = VAR_KOR.get(base, base)
|
||||
return f"{base_kor}{label}"
|
||||
return varname
|
||||
|
||||
def sheet_macro(wb, macro_data, forced_vars):
|
||||
ws = wb.create_sheet("원시데이터_거시변수")
|
||||
display_cols = list(forced_vars) + [c for c in macro_data.columns if c not in forced_vars]
|
||||
display_cols = [c for c in display_cols if c in macro_data.columns]
|
||||
_widths(ws, [3,8]+[14]*len(display_cols))
|
||||
nc = 2+len(display_cols); r=1
|
||||
_title(ws, r, " 원시 데이터: 거시경제변수", nc)
|
||||
r=3
|
||||
r = _section(ws, r, f" ★ 선택 변수: {', '.join([_kor(v) for v in forced_vars])}", nc)
|
||||
r = _headers(ws, r, ["","연도"]+[_kor(c) for c in display_cols])
|
||||
for i,(year,rd) in enumerate(macro_data.iterrows()):
|
||||
vals = [None,int(year)]+[rd[c] if c in rd and pd.notna(rd[c]) else None for c in display_cols]
|
||||
r = _row(ws, r, vals, alt=i%2==1, fmt=NUM2)
|
||||
|
||||
|
||||
def sheet_zt(wb, zt_dict, macro_data, forced_vars, rho):
|
||||
ws = wb.create_sheet("Zt_추정")
|
||||
ncols = 3+len(forced_vars)
|
||||
_widths(ws, [3,10,14]+[14]*len(forced_vars))
|
||||
r=1; _title(ws, r, " Zt 추정 (Belkin & Suchower 1998)", ncols)
|
||||
r=3
|
||||
r = _section(ws, r, " 방법론: 관측 전이행렬 역산 → WLS → Zt", ncols)
|
||||
zv = np.array(list(zt_dict.values()))
|
||||
r = _kv(ws, r, "자산상관계수 (ρ)", rho, fmt=NUM4)
|
||||
r += 1
|
||||
# ρ 근거
|
||||
r = _section(ws, r, " ρ = 0.20 근거", ncols)
|
||||
ws.cell(row=r, column=2, value="[1] Basel III IRB: 기업 ρ = 0.12~0.24 (CRE31.6)").font = SMALL_FONT; r+=1
|
||||
ws.cell(row=r, column=2, value=" R = 0.12×(1-e^(-50×PD))/(1-e^(-50)) + 0.24×(1-(1-e^(-50×PD))/(1-e^(-50)))").font = SMALL_FONT; r+=1
|
||||
ws.cell(row=r, column=2, value="[2] BBB(PD≈0.2%) → R=0.208, A(PD≈0.07%) → R=0.217").font = SMALL_FONT; r+=1
|
||||
ws.cell(row=r, column=2, value="[3] 한국 기업 포트폴리오 평균: ρ ≈ 0.20 (투자/투기 혼합)").font = SMALL_FONT; r+=1
|
||||
ws.cell(row=r, column=2, value="[4] Moody's Analytics CreditEdge: single-factor ρ ≈ 0.15~0.25").font = SMALL_FONT; r+=1
|
||||
r += 1
|
||||
r = _kv(ws, r, "Zt 평균 (μ)", float(zv.mean()), fmt=NUM4)
|
||||
r = _kv(ws, r, "Zt 표준편차 (σ)", float(zv.std()), fmt=NUM4)
|
||||
r = _kv(ws, r, "관측 기간", f"{min(zt_dict.keys())}~{max(zt_dict.keys())} ({len(zt_dict)}개년)")
|
||||
r += 1
|
||||
hdrs = ["","연도","Zt"]+forced_vars
|
||||
r = _headers(ws, r, hdrs)
|
||||
for i,(year,zt) in enumerate(sorted(zt_dict.items())):
|
||||
vals = [None,int(year),float(zt)]
|
||||
for v in forced_vars:
|
||||
if v in macro_data.columns and year in macro_data.index:
|
||||
vals.append(macro_data.loc[year,v] if pd.notna(macro_data.loc[year,v]) else None)
|
||||
else: vals.append(None)
|
||||
r = _row(ws, r, vals, alt=i%2==1, fmt=NUM4)
|
||||
|
||||
|
||||
def sheet_ar1(wb, model, diag):
|
||||
ws = wb.create_sheet("AR1_모형")
|
||||
_widths(ws, [3,22,14,14,14,14,14])
|
||||
r=1; _title(ws, r, " AR(1) + Macro 회귀 모형", 7)
|
||||
r=3
|
||||
r = _section(ws, r, " Z(t) = c + φ·Z(t-1) + Σ βᵢ·Xᵢ_std(t) + ε(t)", 7)
|
||||
ws.cell(row=r, column=2, value="※ 거시변수는 표준화(mean=0, std=1) 후 투입. β = '1σ 충격 → ΔZ'로 해석").font = SMALL_FONT
|
||||
r += 2
|
||||
# 계수
|
||||
r = _section(ws, r, " 회귀 계수", 7)
|
||||
r = _headers(ws, r, ["","변수","계수","표준오차","t값","p값","유의성"])
|
||||
coef_df = diag.get("coefficients", pd.DataFrame())
|
||||
for i,(_,rd) in enumerate(coef_df.iterrows()):
|
||||
pv = rd.get("p값",1)
|
||||
sig = "***" if pv<0.01 else "**" if pv<0.05 else "*" if pv<0.10 else ""
|
||||
vals = [None, rd.get("변수",""), rd.get("계수",0), rd.get("표준오차",0), rd.get("t값",0), pv, sig]
|
||||
rn = _row(ws, r, vals, alt=i%2==1, fmt=NUM4)
|
||||
if pv < 0.05: ws.cell(row=r,column=7).font = PASS_FONT
|
||||
elif pv < 0.10: ws.cell(row=r,column=7).font = Font(name="맑은 고딕",size=9,color="FF8F00")
|
||||
r = rn
|
||||
r += 1
|
||||
# 진단 — 모형 적합도
|
||||
r = _section(ws, r, " 모형 적합도", 7)
|
||||
for k,v,f in [("R²","r_squared",NUM4),("Adj. R²","adj_r_squared",NUM4),
|
||||
("F 통계량","f_stat",NUM4),("F p-value","f_pvalue",NUM4),
|
||||
("AIC","aic",NUM2),("BIC","bic",NUM2)]:
|
||||
r = _kv(ws, r, k, diag.get(v, None), fmt=f)
|
||||
r += 1
|
||||
# 진단 — 잔차 검정 (6개 전항목)
|
||||
r = _section(ws, r, " 잔차 검정 (6개 전항목)", 7)
|
||||
r = _headers(ws, r, ["","검정","통계량","p-value","기준","결과","해석"])
|
||||
tests_data = [
|
||||
("ADF (Zt 정상성)", diag.get("adf_stat"), diag.get("adf_pvalue"),
|
||||
"p < 0.05", diag.get("adf_pvalue",1) < 0.05 if diag.get("adf_pvalue") else False,
|
||||
"BIC lag 선택, H0: 비정상"),
|
||||
("Ljung-Box Q(5)", diag.get("ljung_box_stat"), diag.get("ljung_box_pvalue"),
|
||||
"p > 0.05", diag.get("ljung_box_pvalue",0) > 0.05 if diag.get("ljung_box_pvalue") else False,
|
||||
"H0: 자기상관 없음"),
|
||||
("Durbin-Watson", diag.get("durbin_watson"), None,
|
||||
"1.5~2.5", 1.5 <= diag.get("durbin_watson",0) <= 2.5 if diag.get("durbin_watson") else False,
|
||||
"≈2 이상적"),
|
||||
("Breusch-Pagan", diag.get("bp_stat"), diag.get("bp_pvalue"),
|
||||
"p > 0.05", diag.get("bp_pvalue",0) > 0.05 if diag.get("bp_pvalue") else False,
|
||||
"H0: 등분산"),
|
||||
("ARCH-LM", diag.get("arch_stat"), diag.get("arch_pvalue"),
|
||||
"p > 0.05", diag.get("arch_pvalue",0) > 0.05 if diag.get("arch_pvalue") else False,
|
||||
"H0: ARCH 효과 없음"),
|
||||
("Shapiro-Wilk", diag.get("shapiro_stat"), diag.get("shapiro_pvalue"),
|
||||
"p > 0.05", diag.get("shapiro_pvalue",0) > 0.05 if diag.get("shapiro_pvalue") else False,
|
||||
"H0: 정규분포"),
|
||||
]
|
||||
for tname, stat, pval, crit, passed, note in tests_data:
|
||||
stat_str = f"{stat:.4f}" if stat is not None else "-"
|
||||
pval_str = f"{pval:.4f}" if pval is not None else "-"
|
||||
result_str = "Pass ✅" if passed else "Fail ❌"
|
||||
vals = [None, tname, stat_str, pval_str, crit, result_str, note]
|
||||
r = _row(ws, r, vals)
|
||||
if passed:
|
||||
ws.cell(row=r-1, column=6).font = PASS_FONT
|
||||
else:
|
||||
ws.cell(row=r-1, column=6).font = FAIL_FONT
|
||||
r += 1
|
||||
# 변수 통계
|
||||
r = _section(ws, r, " 거시변수 표본 통계 (표준화 전 원시값)", 7)
|
||||
r = _headers(ws, r, ["","변수","평균","표준편차","최근값","",""])
|
||||
for var,st in model.ar1_macro_stats.items():
|
||||
vals = [None,_kor(var),st["mean"],st["std"],st["last"],None,None]
|
||||
r = _row(ws, r, vals, fmt=NUM2)
|
||||
r += 1
|
||||
# 경제적 해석 섹션
|
||||
r = _section(ws, r, " 변수별 경제적 해석", 7)
|
||||
interp = {
|
||||
"CORP_BBB_LAG2": "2년전 BBB금리↑ → 신용위험 잔존 → 부도↑ → Z↓ (시차효과)",
|
||||
"GFCF_GROWTH_LAG2": "2년전 고정자본투자↑ → 생산능력↑ → 부도↓ → Z↑",
|
||||
"SAVING_RATE_L": "log(저축률)↑ → 경제안정성↑ → 부도↓ → Z↑",
|
||||
"HOUSING_PRICE": "주택가격↑ → 담보가치↑ → 차입여력↑ → 부도↓ → Z↑",
|
||||
"CREDIT_SPREAD_LAG1": "전년 스프레드↑ → 당해 신용위험 전이 → 부도↑ → Z↓ (시차 효과)",
|
||||
"EXPORT_DIFF": "수출증감↑ → 기업매출↑ → 수익성↑ → 부도↓ → Z↑",
|
||||
"CURRENT_ACCOUNT": "경상수지↑(흑자) → 불황기 수출의존↑ → Z↓",
|
||||
"CURRENT_ACCOUNT_R": "경상수지변화율↑ → 대외부문 개선 속도↑ → Z↑ (단기 모멘텀)",
|
||||
"LEADING_INDEX": "경기선행지수↑ → 3~6개월 후 경기확장 → 부도↓ → Z↑",
|
||||
"CONSTR_INVEST_GR": "건설투자↑ → 과잉투자/레버리지 → Z↓ (민스키 가설)",
|
||||
}
|
||||
for var in model.selected_vars:
|
||||
beta = model.ar1_beta.get(var, 0)
|
||||
sign = "+" if beta > 0 else "−"
|
||||
desc = interp.get(var, "")
|
||||
ws.cell(row=r, column=2, value=_kor(var)).font = BODY_BOLD
|
||||
ws.cell(row=r, column=3, value=f"β={beta:+.4f} ({sign})").font = NUM_FONT
|
||||
ws.cell(row=r, column=4, value=desc).font = SMALL_FONT
|
||||
ws.merge_cells(start_row=r, start_column=4, end_row=r, end_column=7)
|
||||
r += 1
|
||||
|
||||
|
||||
def sheet_zpath(wb, z_paths, config):
|
||||
ws = wb.create_sheet("시나리오_Z경로")
|
||||
scenarios = list(z_paths.keys())
|
||||
nc = 2+len(scenarios)
|
||||
_widths(ws, [3,10]+[16]*len(scenarios))
|
||||
r=1; _title(ws, r, " 시나리오별 Z(t) 경로", nc)
|
||||
r=3
|
||||
r = _section(ws, r, " t=1: 거시 충격 적용 | t≥2: AR(1) 감쇠 → TTC 수렴", nc)
|
||||
r += 1
|
||||
names = []
|
||||
for s in scenarios:
|
||||
c = config.get("scenarios",{}).get(s,{})
|
||||
names.append(c.get("name",s))
|
||||
r = _headers(ws, r, ["","연도(t+k)"]+names)
|
||||
horizon = len(list(z_paths.values())[0])
|
||||
key_years = list(range(1,11))+[15,20,25,30,40,50]
|
||||
for t in key_years:
|
||||
if t <= horizon:
|
||||
vals = [None,t]+[float(z_paths[s][t-1]) for s in scenarios]
|
||||
r = _row(ws, r, vals, alt=t%2==0, fmt=NUM4)
|
||||
|
||||
|
||||
def sheet_pd(wb, pd_results, config, grades8):
|
||||
ws = wb.create_sheet("Lifetime_PD")
|
||||
ng = len(grades8)-1 # D 제외
|
||||
_widths(ws, [3,14,8]+[14]*ng)
|
||||
nc = 3+ng
|
||||
r=1; _title(ws, r, " 시나리오별 누적 Lifetime PD (%)", nc)
|
||||
r=3
|
||||
ky = [1,2,3,5,7,10,15,20,30,50]
|
||||
by_sc = pd_results.get("by_scenario", {})
|
||||
for sname, sdata in by_sc.items():
|
||||
c = config.get("scenarios",{}).get(sname,{})
|
||||
dn = c.get("name",sname); w = c.get("weight",0)
|
||||
r = _section(ws, r, f" {dn} (가중치 {w*100:.0f}%)", nc)
|
||||
r = _headers(ws, r, ["","시나리오","연도"]+list(grades8[:-1]))
|
||||
cpd = sdata.get("cumulative_pd", np.zeros((50,ng)))
|
||||
for t in ky:
|
||||
if t <= cpd.shape[0]:
|
||||
vals = [None,dn,t]+[cpd[t-1,g]*100 for g in range(min(ng,cpd.shape[1]))]
|
||||
r = _row(ws, r, vals, alt=ky.index(t)%2==1, fmt=NUM4)
|
||||
r += 1
|
||||
|
||||
|
||||
def sheet_weighted(wb, pd_results, config, grades8):
|
||||
ws = wb.create_sheet("가중평균_PD")
|
||||
ng = len(grades8)-1
|
||||
_widths(ws, [3,8]+[14]*ng)
|
||||
nc = 2+ng
|
||||
r=1; _title(ws, r, " 확률가중 Lifetime PD (%)", nc)
|
||||
r=3
|
||||
# IFRS 9 근거
|
||||
r = _section(ws, r, " IFRS 9 근거: 확률가중 기대신용손실", nc)
|
||||
ws.cell(row=r, column=2, value='IFRS 9 B5.5.42: "기대신용손실은 확률가중 금액이어야 하며,').font = SMALL_FONT; r+=1
|
||||
ws.cell(row=r, column=2, value='가능한 결과의 범위를 반영하여야 한다. 단일 가장 가능성 높은 결과가 아닌,').font = SMALL_FONT; r+=1
|
||||
ws.cell(row=r, column=2, value='신용위험의 벽혹을 변경시키는 일반적 경제 조건에 대한 예측을 포함하여야 한다."').font = SMALL_FONT; r+=1
|
||||
ws.cell(row=r, column=2, value='IFRS 9 B5.5.44: "최소 2개 시나리오(호황/불황)+확률가중치 = ECL 요구사항을 충족할 수 있다."').font = SMALL_FONT; r+=1
|
||||
r += 1
|
||||
r = _section(ws, r, " PD_weighted(t) = Σ w_s × PD_s(t)", nc)
|
||||
wstr = " + ".join([f"{c.get('weight',0)*100:.0f}%×{c.get('name',s)}" for s,c in config.get("scenarios",{}).items()])
|
||||
ws.cell(row=r, column=2, value=f"= {wstr}").font = SMALL_FONT
|
||||
r += 2
|
||||
ky = [1,2,3,5,7,10,15,20,30,50]
|
||||
r = _headers(ws, r, ["","연도"]+list(grades8[:-1]))
|
||||
wcpd = pd_results.get("weighted_cumulative_pd", np.zeros((50, ng)))
|
||||
for t in ky:
|
||||
if t <= wcpd.shape[0]:
|
||||
wpd = wcpd[t-1,:ng] * 100
|
||||
else:
|
||||
wpd = np.zeros(ng)
|
||||
vals = [None,t]+list(wpd)
|
||||
r = _row(ws, r, vals, alt=ky.index(t)%2==1, fmt=NUM4)
|
||||
|
||||
|
||||
def sheet_validation(wb, val_df):
|
||||
ws = wb.create_sheet("검증결과")
|
||||
_widths(ws, [3,30,22,14,14,10,40])
|
||||
r=1; _title(ws, r, " 통계적 검증 결과", 7)
|
||||
r=3
|
||||
cols = list(val_df.columns)
|
||||
r = _headers(ws, r, [""]+cols)
|
||||
for i,(_,rd) in enumerate(val_df.iterrows()):
|
||||
vals = [None]+[rd[c] for c in cols]
|
||||
rn = _row(ws, r, vals, alt=i%2==1)
|
||||
# 결과 색상
|
||||
result_col = cols.index("결과")+2 if "결과" in cols else None
|
||||
if result_col:
|
||||
cell = ws.cell(row=r, column=result_col)
|
||||
if "Pass" in str(cell.value):
|
||||
cell.fill = PASS_FILL; cell.font = PASS_FONT
|
||||
elif "Fail" in str(cell.value):
|
||||
cell.fill = FAIL_FILL; cell.font = FAIL_FONT
|
||||
r = rn
|
||||
|
||||
|
||||
# ================================================================
|
||||
# 메인
|
||||
# ================================================================
|
||||
def generate_report(config_path="config.yaml", output_path="results/lifetime_pd_report.xlsx"):
|
||||
print("=" * 60)
|
||||
print(" Lifetime PD 분석 보고서 생성")
|
||||
print("=" * 60)
|
||||
|
||||
with open(config_path) as f:
|
||||
config = yaml.safe_load(f)
|
||||
|
||||
rho = config.get("model",{}).get("rho", 0.20)
|
||||
grades = config.get("model",{}).get("rating_grades", list(RATING_GRADES))
|
||||
forced_vars = config.get("model",{}).get("macro_vars", [])
|
||||
macro_method = config.get("model",{}).get("macro_method", "ar1_macro")
|
||||
horizon = config.get("convergence",{}).get("total_horizon", 50)
|
||||
|
||||
from data.pd_floor import apply_pd_floor_to_matrices, build_complete_pd_floor_table
|
||||
|
||||
# 1. 데이터
|
||||
print("\n [1/6] 데이터 로딩...")
|
||||
data_config = config.get("data", {})
|
||||
tm_source = data_config.get("transition_source", "real")
|
||||
tm_dir = data_config.get("transition_dir", None)
|
||||
tm_all = load_transition_matrices(tm_source, data_dir=tm_dir)
|
||||
# 2000-2025 필터
|
||||
tm_raw = {y:m for y,m in tm_all.items() if 2000 <= y <= 2025}
|
||||
|
||||
# KAP 채권 YTM 기반 PD Floor 적용
|
||||
pd_floors, _, pd_floors_full = build_complete_pd_floor_table()
|
||||
tm = apply_pd_floor_to_matrices(tm_raw, pd_floors)
|
||||
ttc = compute_ttc_matrix(tm)
|
||||
|
||||
# 거시변수
|
||||
macro_data = _fallback_macro_data()
|
||||
try:
|
||||
ecos = load_ecos_macro()
|
||||
if ecos is not None and not ecos.empty:
|
||||
macro_data = pd.concat([macro_data, ecos], axis=1)
|
||||
macro_data = macro_data.loc[:,~macro_data.columns.duplicated()]
|
||||
except: pass
|
||||
derived = compute_derived_features(macro_data)
|
||||
if not derived.empty:
|
||||
macro_data = pd.concat([macro_data, derived], axis=1)
|
||||
macro_data = macro_data.loc[:,~macro_data.columns.duplicated()]
|
||||
# 확장 변환: LAG2, log, diff, pctchg, log-return
|
||||
base_cols = list(macro_data.columns)
|
||||
for col in base_cols:
|
||||
s = macro_data[col]
|
||||
d = s.diff()
|
||||
if d.std() > 1e-10:
|
||||
macro_data[f"{col}_D"] = d
|
||||
pc = s.pct_change().replace([np.inf, -np.inf], np.nan)
|
||||
if pc.dropna().std() > 1e-10:
|
||||
macro_data[f"{col}_R"] = pc
|
||||
if (s > 0).all():
|
||||
ls = np.log(s)
|
||||
if ls.std() > 1e-10:
|
||||
macro_data[f"{col}_L"] = ls
|
||||
ld = ls.diff()
|
||||
if ld.dropna().std() > 1e-10:
|
||||
macro_data[f"{col}_LR"] = ld
|
||||
l2 = s.shift(1)
|
||||
if l2.dropna().std() > 1e-10:
|
||||
macro_data[f"{col}_LAG2"] = l2
|
||||
macro_data = macro_data.ffill().bfill()
|
||||
macro_data = macro_data.loc[:,~macro_data.columns.duplicated()]
|
||||
print(f" 전이행렬: {len(tm)}개년 [{tm_source}], PD Floor 적용, 거시변수: {len(macro_data.columns)}개")
|
||||
|
||||
# 2. Zt
|
||||
print(" [2/6] Zt 추정...")
|
||||
zt_dict = estimate_zt_series(tm, ttc, rho)
|
||||
|
||||
# 3. AR(1)
|
||||
print(" [3/6] AR(1)+Macro 적합...")
|
||||
model = build_macro_zt_model(zt_dict, macro_data, method=macro_method, forced_vars=forced_vars)
|
||||
diag = model.diagnostics()
|
||||
# 추가 진단 통계 (AR1 시트 6개 검정용)
|
||||
zt_arr = np.array([zt_dict[yr] for yr in sorted(zt_dict.keys())])
|
||||
from statsmodels.tsa.stattools import adfuller as _adfuller
|
||||
_adf = _adfuller(zt_arr, autolag="BIC")
|
||||
diag["adf_stat"] = _adf[0]; diag["adf_pvalue"] = _adf[1]
|
||||
if model.result is not None:
|
||||
_resid = model.result.resid
|
||||
_exog = model.result.model.exog
|
||||
from statsmodels.stats.diagnostic import acorr_ljungbox as _lb, het_breuschpagan as _bp, het_arch as _arch
|
||||
from scipy.stats import shapiro as _shapiro
|
||||
try:
|
||||
_lbr = _lb(_resid, lags=[5], return_df=True)
|
||||
diag["ljung_box_stat"] = float(_lbr["lb_stat"].iloc[0])
|
||||
diag["ljung_box_pvalue"] = float(_lbr["lb_pvalue"].iloc[0])
|
||||
except: pass
|
||||
try:
|
||||
_bpr = _bp(_resid, _exog)
|
||||
diag["bp_stat"] = float(_bpr[0]); diag["bp_pvalue"] = float(_bpr[1])
|
||||
except: pass
|
||||
try:
|
||||
_ar = _arch(_resid, nlags=3)
|
||||
diag["arch_stat"] = float(_ar[0]); diag["arch_pvalue"] = float(_ar[1])
|
||||
except: pass
|
||||
try:
|
||||
_sw = _shapiro(_resid)
|
||||
diag["shapiro_stat"] = float(_sw.statistic); diag["shapiro_pvalue"] = float(_sw.pvalue)
|
||||
except: pass
|
||||
diag["bic"] = float(model.result.bic) if hasattr(model.result, 'bic') else None
|
||||
print(f" φ={model.ar1_phi:.4f}, R²={diag['r_squared']:.4f}, Adj.R²={diag['adj_r_squared']:.4f}")
|
||||
|
||||
# 4. 시나리오
|
||||
print(" [4/6] 시나리오 Z경로...")
|
||||
engine = ScenarioEngine(config)
|
||||
z_paths = engine.generate_z_paths(zt_dict, macro_model=model)
|
||||
weights = engine.get_scenario_weights()
|
||||
|
||||
# 5. Lifetime PD
|
||||
print(" [5/6] Lifetime PD 산출...")
|
||||
ttc_8x8 = expand_to_8x8(ttc) if ttc.shape == (7,7) else ttc
|
||||
pd_engine = LifetimePDEngine(ttc_8x8, rho, rating_grades=RATING_GRADES_8)
|
||||
pd_results = pd_engine.compute_all_scenarios(z_paths, weights, horizon)
|
||||
|
||||
# 6. 검증
|
||||
print(" [6/6] 통계 검증...")
|
||||
zt_series = pd.Series(zt_dict)
|
||||
reg_result = model.result
|
||||
val_df = run_full_validation(zt_series.values, reg_result, pd_results, list(RATING_GRADES[:-1]))
|
||||
|
||||
# ================================================================
|
||||
# Excel 생성
|
||||
# ================================================================
|
||||
print(f"\n Excel 보고서 생성 중...")
|
||||
wb = Workbook()
|
||||
sheet_summary(wb, config, model, zt_dict, diag, z_paths, val_df, pd_engine, pd_results, RATING_GRADES_8)
|
||||
sheet_tm(wb, tm_raw, tm, ttc, pd_floors, config)
|
||||
sheet_macro(wb, macro_data, forced_vars)
|
||||
sheet_zt(wb, zt_dict, macro_data, forced_vars, rho)
|
||||
sheet_ar1(wb, model, diag)
|
||||
sheet_zpath(wb, z_paths, config)
|
||||
sheet_pd(wb, pd_results, config, RATING_GRADES_8)
|
||||
sheet_weighted(wb, pd_results, config, RATING_GRADES_8)
|
||||
sheet_validation(wb, val_df)
|
||||
|
||||
os.makedirs(os.path.dirname(output_path) or '.', exist_ok=True)
|
||||
wb.save(output_path)
|
||||
print(f"\n ✓ 보고서 저장: {output_path}")
|
||||
print(f" 시트: {len(wb.sheetnames)}개 ({', '.join(wb.sheetnames)})")
|
||||
return output_path
|
||||
|
||||
|
||||
if __name__ == "__main__":
|
||||
parser = argparse.ArgumentParser(description="Lifetime PD 보고서 생성")
|
||||
parser.add_argument("--config", default="config.yaml")
|
||||
parser.add_argument("--output", default="results/lifetime_pd_report.xlsx")
|
||||
args = parser.parse_args()
|
||||
generate_report(args.config, args.output)
|
||||
Reference in New Issue
Block a user