LifetimePD

Variet/LifetimePD

Fork 0

Commit Graph

Author	SHA1	Message	Date
Variet Agent	811d6ee843	feat(macro): comprehensive variable exploration, R²=0.028→0.747 - New: data/macro_analysis.py (15 base × 6 transforms = 116 candidates) - Top correlations: CORP_AA_LOGR(r=-0.75), credit spread, term spread - Exhaustive 3-var search (1749 combos), best adj.R²=0.71 - Modified: data/macro_data.py - Added GOVT_3Y, CORP_AA, CORP_BBB ECOS queries + fallback data - New: compute_derived_features() for optimal 3 predictors - Modified: main.py - Computes derived features + passes combined input to stepwise - Scenario paths now include derived features for prediction - Selected 3 variables: CORP_AA_LOGR, CPI_GROWTH, CREDIT_SPREAD_LAG1 - All 8/8 validation tests pass (incl. R² now Pass)	2026-03-11 06:55:02 +09:00
Variet Agent	9fba224623	fix(ecos): correct all 6 ECOS API stat/item codes #task-292 - GDP: 111Y002/10111 -> 902Y015/KOR (international comparative stats) - Unemployment: 901Y027/3 -> 901Y027/I61BC (correct item for rate) - CD rate: 817Y002/010502000 -> 721Y001/2010000 (market interest rates) - CPI: now computes YoY growth from level index (pct_change) - Leading index: monthly (M) fetch + annual average (no annual data available) - Fix DataFrame merge: dedup index, dropna before concat - Fix NaN in scenario Z paths: fallback to z_scenario - Update config.yaml with verified stat codes	2026-03-10 22:53:51 +09:00
Variet Agent	3a9374c61a	feat: Lifetime PD (50yr) - Belkin & Suchower + Vasicek model - Belkin & Suchower (1998) credit cycle index (Zt) estimation via WLS - Vasicek single-factor conditional PD/TM model - Macro-Zt OLS regression with stepwise variable selection - 3-scenario (boom/neutral/recession) 50yr PD projection - Statistical validation suite (ADF, Ljung-Box, R2, ARCH) - BOK ECOS API integration with fallback data - Visualization module (7 chart types) - Detailed theoretical methodology docs/methodology.md	2026-03-10 21:57:34 +09:00

Author

SHA1

Message

Date

Variet Agent

811d6ee843

feat(macro): comprehensive variable exploration, R²=0.028→0.747

- New: data/macro_analysis.py (15 base × 6 transforms = 116 candidates)
  - Top correlations: CORP_AA_LOGR(r=-0.75), credit spread, term spread
  - Exhaustive 3-var search (1749 combos), best adj.R²=0.71
- Modified: data/macro_data.py
  - Added GOVT_3Y, CORP_AA, CORP_BBB ECOS queries + fallback data
  - New: compute_derived_features() for optimal 3 predictors
- Modified: main.py
  - Computes derived features + passes combined input to stepwise
  - Scenario paths now include derived features for prediction
- Selected 3 variables: CORP_AA_LOGR, CPI_GROWTH, CREDIT_SPREAD_LAG1
- All 8/8 validation tests pass (incl. R² now Pass)

2026-03-11 06:55:02 +09:00

Variet Agent

9fba224623

fix(ecos): correct all 6 ECOS API stat/item codes #task-292

- GDP: 111Y002/10111 -> 902Y015/KOR (international comparative stats)
- Unemployment: 901Y027/3 -> 901Y027/I61BC (correct item for rate)
- CD rate: 817Y002/010502000 -> 721Y001/2010000 (market interest rates)
- CPI: now computes YoY growth from level index (pct_change)
- Leading index: monthly (M) fetch + annual average (no annual data available)
- Fix DataFrame merge: dedup index, dropna before concat
- Fix NaN in scenario Z paths: fallback to z_scenario
- Update config.yaml with verified stat codes

2026-03-10 22:53:51 +09:00

Variet Agent

3a9374c61a

feat: Lifetime PD (50yr) - Belkin & Suchower + Vasicek model

- Belkin & Suchower (1998) credit cycle index (Zt) estimation via WLS
- Vasicek single-factor conditional PD/TM model
- Macro-Zt OLS regression with stepwise variable selection
- 3-scenario (boom/neutral/recession) 50yr PD projection
- Statistical validation suite (ADF, Ljung-Box, R2, ARCH)
- BOK ECOS API integration with fallback data
- Visualization module (7 chart types)
- Detailed theoretical methodology docs/methodology.md

2026-03-10 21:57:34 +09:00

3 Commits