Variet/LifetimePD
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93887f49dd8b6b59378dea85907cb1fc386c4e27
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4 Commits

Author SHA1 Message Date
Variet Agent
93887f49dd refactor(macro): sign-consistent re-analysis, rate DIFF only 
- Removed CORP_AA_LOGR (log of rate = problematic near zero)
- Rate variables restricted to DIFF only (no LOG/PCT/LOGR)
- Added economic sign consistency checks for all 45 features
- New optimal 3-var: CREDIT_SPREAD_LAG1, IPI_LAG1, EXPORT_DIFF
  - All coefficient signs economically consistent
  - R²=0.586 (trade-off: lower R² but correct economics)
- Added IPI + EXPORT to ECOS queries and fallback data
- Zt restricted to 2000-2025 in analysis (26 obs)
- Pipeline 8/8 validation pass
 2026-03-11 07:17:33 +09:00
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