56 lines
2.0 KiB
Python
56 lines
2.0 KiB
Python
"""등급역전 분석 + AAA EDF 진단"""
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import sqlite3
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import numpy as np
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from scipy.stats import norm
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conn = sqlite3.connect("data/edf.db")
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# 1) 등급별 EDF 상세 확인 — 역전 여부
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print("=== 등급별 EDF 상세 (역전 확인) ===")
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rows = conn.execute("""
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SELECT dd_rating, COUNT(*), AVG(DD), MIN(DD), MAX(DD), AVG(EDF), MIN(EDF), MAX(EDF)
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FROM merton_results
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GROUP BY dd_rating
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ORDER BY AVG(DD) DESC
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""").fetchall()
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rating_order = ["AAA","AA+","AA","AA-","A+","A","A-","BBB+","BBB","BBB-",
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"BB+","BB","BB-","B+","B","B-","CCC+","CCC","CCC-"]
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prev_edf = -1
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print(f"{'등급':>5} | {'N':>5} | {'DD평균':>8} | {'DD최소':>8} | {'EDF평균':>12} | {'역전':>4}")
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print("-" * 65)
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for rating in rating_order:
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match = [r for r in rows if r[0] == rating]
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if match:
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r = match[0]
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edf = r[5]
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inversion = " !!!" if edf < prev_edf and prev_edf >= 0 else ""
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print(f" {r[0]:5s} | {r[1]:5d} | {r[2]:8.2f} | {r[3]:8.2f} | {edf:12.8f} | {inversion}")
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prev_edf = edf
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# 2) AAA 개별 확인
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print("\n=== AAA 종목 상세 ===")
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aaa = conn.execute("""
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SELECT mr.ticker, c.name, mr.DD, mr.EDF, mr.E, mr.D, mr.sigma_V
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FROM merton_results mr JOIN companies c ON mr.ticker = c.ticker
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WHERE mr.dd_rating = 'AAA'
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ORDER BY mr.DD DESC
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LIMIT 15
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""").fetchall()
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for r in aaa:
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# 수동 EDF 계산
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manual_edf = norm.cdf(-r[2])
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print(f" {r[0]} {r[1][:15]:15s} | DD={r[2]:8.2f} | EDF={r[3]:.2e} | manual_N(-DD)={manual_edf:.2e} | E={r[4]:.2e} D={r[5]:.2e}")
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# 3) AA- EDF 역전 확인 (AA-가 A+보다 높은 문제)
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print("\n=== AA- vs A+ 비교 ===")
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for grade in ["AA-", "A+", "A", "A-"]:
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data = conn.execute(f"""
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SELECT AVG(DD), AVG(EDF), MIN(EDF), MAX(EDF), COUNT(*)
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FROM merton_results WHERE dd_rating = '{grade}'
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""").fetchone()
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print(f" {grade:5s}: DD평균={data[0]:.2f}, EDF평균={data[1]:.6f}, EDF범위=[{data[2]:.6f}, {data[3]:.6f}], N={data[4]}")
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conn.close()
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