LifetimePD

Variet/LifetimePD

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Author	SHA1	Message	Date
Variet Agent	d61c538308	fix(critical): complete Zt sign alignment across all modules Fixed ALL instances of (d - sqrt_rhoz) -> (d + sqrt_rhoz): - models/vasicek.py: conditional_transition_matrix() (used by lifetime PD) - data/transition_matrices.py: _generate_model_consistent_matrix() - models/credit_cycle.py: already fixed in previous commit Added sign convention docs: - vasicek.py conditional_pd() uses Basel convention (Z↑=loss↑) - conditional_transition_matrix() uses Belkin convention (Z↑=호황) - Both conventions documented in module docstrings Pipeline 8/8 validation pass after fix	2026-03-11 07:36:52 +09:00
Variet Agent	8af743e6f3	feat(data): parse 3-agency PDF transition matrices to CSV #task-290 - New: data/parse_pdf_matrices.py (KR/NICE/SCI PDF parser) - KR: text-based parser (space-separated numbers + dashes) - NICE: text-based parser (clean numeric format) - SCI: pdfplumber table extraction (column-position-aware) - WR redistribution, B이하→B mapping, CCC extrapolation from PD patterns - Modified: data/transition_matrices.py (added source='real' loader) - Modified: config.yaml (data.transition_source: 'real') - Modified: main.py (reads transition source from config) - Output: 112 CSV files (KR/NICE/SCI/AVG × 28 years)	2026-03-11 01:07:27 +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

d61c538308

fix(critical): complete Zt sign alignment across all modules

Fixed ALL instances of (d - sqrt_rho*z) -> (d + sqrt_rho*z):
- models/vasicek.py: conditional_transition_matrix() (used by lifetime PD)
- data/transition_matrices.py: _generate_model_consistent_matrix()
- models/credit_cycle.py: already fixed in previous commit

Added sign convention docs:
- vasicek.py conditional_pd() uses Basel convention (Z↑=loss↑)
- conditional_transition_matrix() uses Belkin convention (Z↑=호황)
- Both conventions documented in module docstrings

Pipeline 8/8 validation pass after fix

2026-03-11 07:36:52 +09:00

Variet Agent

8af743e6f3

feat(data): parse 3-agency PDF transition matrices to CSV #task-290

- New: data/parse_pdf_matrices.py (KR/NICE/SCI PDF parser)
  - KR: text-based parser (space-separated numbers + dashes)
  - NICE: text-based parser (clean numeric format)
  - SCI: pdfplumber table extraction (column-position-aware)
  - WR redistribution, B이하→B mapping, CCC extrapolation from PD patterns
- Modified: data/transition_matrices.py (added source='real' loader)
- Modified: config.yaml (data.transition_source: 'real')
- Modified: main.py (reads transition source from config)
- Output: 112 CSV files (KR/NICE/SCI/AVG × 28 years)

2026-03-11 01:07:27 +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