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acb232fff4
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feat(scenarios): scenario weight empirical analysis script + env update lifetimePD
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2026-03-26 21:31:04 +09:00 |
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Variet Agent
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d1ddf06e5d
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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
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2026-03-12 00:06:23 +09:00 |
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Variet Agent
|
87725b7c19
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feat: 3-variable macro model (USDKRW+RETAIL_SALES+INVEST_RATE), forced_vars support, methodology sync
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2026-03-11 17:30:06 +09:00 |
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Variet Agent
|
2406dac6a2
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docs: session close - devlog update, Phase 3-6 complete
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2026-03-11 16:25:58 +09:00 |
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Variet Agent
|
8a0d6e7574
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docs: update methodology with KAP-based PD floor values and WR->D correction logic
|
2026-03-11 16:22:08 +09:00 |
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Variet Agent
|
b8514c1251
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feat(data): implement market-implied PD floor and 7x7 transition matrix parsing #task-290
|
2026-03-11 15:53:38 +09:00 |
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Variet Agent
|
0762fcc5d8
|
docs: session close — devlog, known-issues, verification xlsx
- known-issues: Zt sign convention bug, ECOS coverage
- devlog: 2026-03-11 (5 items)
- results: pipeline_verification.xlsx, transition_matrix_audit.xlsx
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2026-03-11 08:06:11 +09:00 |
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Variet Agent
|
bc38d7e933
|
docs: devlog + known-issues (ECOS API codes, CP949, pandas fillna)
|
2026-03-10 22:57:02 +09:00 |
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Variet Agent
|
3a9374c61a
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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
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2026-03-10 21:57:34 +09:00 |
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