diff --git a/.gitignore b/.gitignore index 543e3dd..757fee3 100644 --- a/.gitignore +++ b/.gitignore @@ -1,25 +1 @@ -.idea -venv -.ipynb_checkpoints -/datasets/__pycache__/__init__.cpython-34.pyc -/__pycache__/test.cpython-34.pyc -/tests/__pycache__/test_estimators.cpython-34.pyc -/tests/__pycache__/test_model.cpython-34.pyc -/tests/__pycache__/test_utils.cpython-34.pyc -/transitionMatrix/estimators/cohort_estimator.pyc -/transitionMatrix/estimators/__init__.pyc -/transitionMatrix/estimators/__pycache__/aalen_johansen_estimator.cpython-34.pyc -/transitionMatrix/estimators/__pycache__/cohort_estimator.cpython-34.pyc -/transitionMatrix/estimators/__pycache__/__init__.cpython-34.pyc -/transitionMatrix/estimators/__pycache__/kaplan_meier_estimator.cpython-34.pyc -/transitionMatrix/estimators/__pycache__/simple_estimator.cpython-34.pyc -/transitionMatrix/__init__.pyc -/transitionMatrix/model.pyc -/transitionMatrix/__pycache__/__init__.cpython-34.pyc -/transitionMatrix/__pycache__/model.cpython-34.pyc -/transitionMatrix/utils/dataset_generators.pyc -/transitionMatrix/utils/__init__.pyc -/transitionMatrix/utils/preprocessing.pyc -/transitionMatrix/utils/__pycache__/dataset_generators.cpython-34.pyc -/transitionMatrix/utils/__pycache__/__init__.cpython-34.pyc -/transitionMatrix/utils/__pycache__/preprocessing.cpython-34.pyc +/.idea \ No newline at end of file diff --git a/CHANGELOG.rst b/CHANGELOG.rst index a41f741..2c3cbf0 100644 --- a/CHANGELOG.rst +++ b/CHANGELOG.rst @@ -3,6 +3,13 @@ ChangeLog PLEASE NOTE THAT THE API IS STILL UNSTABLE AS MORE USE CASES / FEATURES ARE ADDED REGULARLY +v0.4.6 (05-22-2019) +------------------- + +* Feature: Update of CQS Mappings, addition of new rating scales +* Documentation: Documentation of rating scale structure and mappings +* Training: Example of mapping portfolio data to CQS + v0.4.5 (04-21-2019) ------------------- @@ -11,8 +18,6 @@ v0.4.5 (04-21-2019) * Feature: print_matrix function for generic matrix pretty printing * Feature: matrix_exponent function for obtaining arbitrary integral matrices from a given generator - - v0.4.4 (03-04-2019) ------------------- @@ -21,13 +26,11 @@ v0.4.4 (03-04-2019) * Feature: CreditCurve class for holding credit curves - v0.4.3 (29-03-2019) ------------------- * Significant rearrangement of code (the threshold models package moved to portfolioAnalytics for more consistent structure of the code base / functionality) - v0.4.2 (29-01-2019) ------------------- diff --git a/README.md b/README.md index 1077d9e..e9613a3 100644 --- a/README.md +++ b/README.md @@ -1,3 +1,6 @@ +[![Gitter](https://badges.gitter.im/open-risk/transitionMatrix.svg)](https://gitter.im/open-risk/transitionMatrix?utm_source=badge&utm_medium=badge&utm_campaign=pr-badge) +[![Documentation Status](https://readthedocs.org/projects/transitionMatrix/badge/?version=latest)](https://transitionmatrix.readthedocs.io/en/latest/?badge=latest) + Intro ========================= transitionMatrix is a Python powered library for the statistical analysis and visualization of state transition @@ -11,6 +14,7 @@ You can use transitionMatrix to - Manipulate transition matrices (generators, comparisons etc.) - Provide standardized data sets for testing - Model transitions using threshold processes +- Map credit ratings using mapping tables between popularly used rating systems Key Information ================ @@ -20,6 +24,8 @@ Key Information * Code Documentation: [Read The Docs](https://transitionmatrix.readthedocs.io/en/latest/index.html) * Mathematical Documentation: [Open Risk Manual](https://www.openriskmanual.org/wiki/Transition_Matrix) * Development website: [Github](https://github.com/open-risk/transitionMatrix) +* General Discussions: [Gitter Lobby](https://gitter.im/open-risk/Lobby) +* Package Specific Chat: [Gitter Project](https://gitter.im/open-risk/transitionMatrix) **NB: transitionMatrix is still in active development. If you encounter issues please raise them in our github repository** @@ -31,8 +37,6 @@ Support and Training * [Analysis of Credit Migration using Python TransitionMatrix](https://www.openriskacademy.com/course/view.php?id=38) * Commercial Support for transitionMatrix is provided as part of OpenCPM - - Examples ======== @@ -73,3 +77,7 @@ Computation and Visualization of Credit Curves ![image](examples/credit_curves.png) +Working with credit states + +![image](examples/scale_conversions.png) + diff --git a/datasets/synthetic_data9.csv b/datasets/synthetic_data9.csv index 035245e..14d5550 100644 --- a/datasets/synthetic_data9.csv +++ b/datasets/synthetic_data9.csv @@ -1,1289 +1,1311 @@ ID,Time,From,To -0,2006-01-01,0,0 -3,2006-01-01,1,1 -6,2006-01-01,7,7 -10,2006-01-01,0,0 -11,2006-01-01,0,0 -12,2006-01-01,7,7 -16,2006-01-01,3,3 -19,2006-01-01,1,1 -20,2006-01-01,0,0 -23,2006-01-01,0,0 -24,2006-01-01,0,0 -26,2006-01-01,0,0 -27,2006-01-01,0,0 -28,2006-01-01,7,7 -41,2006-01-01,0,0 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+113,2014-11-26,3,2 +383,2014-11-27,5,7 +530,2014-12-01,1,2 +668,2014-12-02,5,7 +428,2014-12-04,5,6 +801,2014-12-08,5,3 +319,2014-12-12,4,5 +751,2014-12-18,4,3 +380,2014-12-18,2,3 +923,2014-12-20,5,7 +105,2014-12-23,6,7 +179,2014-12-28,0,1 diff --git a/description.rst b/description.rst index 82b8ea0..5b68647 100644 --- a/description.rst +++ b/description.rst @@ -24,6 +24,7 @@ You can use transitionMatrix to - Manipulate transition matrices (derive generators, perform comparisons, stress transition rates etc.) - Access standardized datasets for testing - Extract and work with default curves +- Map credit ratings using mapping tables **NB: transitionMatrix is still in active development. If you encounter issues please raise them in our github repository** diff --git a/docs/source/conf.py b/docs/source/conf.py index 920cef8..09e99bb 100644 --- a/docs/source/conf.py +++ b/docs/source/conf.py @@ -17,12 +17,12 @@ sys.path.insert(0, os.path.abspath('../../')) -__version__ = '0.4.2' +__version__ = '0.4.6' # -- Project information ----------------------------------------------------- project = 'transitionMatrix' -copyright = '2018, Open Risk' +copyright = '2017-2019, Open Risk' author = 'Open Risk' # The short X.Y version diff --git a/docs/source/examples.rst b/docs/source/examples.rst index 0b60518..debaed7 100644 --- a/docs/source/examples.rst +++ b/docs/source/examples.rst @@ -6,8 +6,7 @@ The examples directory includes python scripts and jupyter notebooks to help you - Generating transition matrices from data - Manipulating transition matrices - Computing and visualizing credit curves corresponding to a set of transition matrices -- Estimating thresholds given a multi-period transition matrix set -- Generating loss distributions analytically +- Mapping rating states between different rating systems Python Scripts ------------------------------------------- @@ -116,6 +115,15 @@ Plot of estimated transition probabilities .. image:: ../../examples/transition_probabilities.png +Map credit ratings between systems +^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^ + +* state_space_operations.py + +Example workflows for converting data from one credit rating system to another using an established mapping +table + + Generate Visuals ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^ @@ -159,8 +167,11 @@ Visualize a transition matrix using Hinton-style visual .. image:: ../../examples/TransitionMatrix.png +Example 7 +"""""""""""""""""""""""""""" +Convert labels between credit rating scales - +.. image:: ../../examples/scale_conversions.png Jupyter Notebooks @@ -168,4 +179,4 @@ Jupyter Notebooks * Adjust_NotRated_State.ipynb * Matrix_Operations.ipynb -* Portfolio_Examples.ipynb +* Monthly_from_Annual.ipynb diff --git a/docs/source/index.rst b/docs/source/index.rst index 77efb60..46dff75 100644 --- a/docs/source/index.rst +++ b/docs/source/index.rst @@ -1,7 +1,5 @@ .. transitionMatrix documentation master file, created by sphinx-quickstart on Thu May 3 17:51:16 2018. - You can adapt this file completely to your liking, but it should at least - contain the root `toctree` directive. transitionMatrix Documentation ============================== diff --git a/docs/source/predefined_rating_scales.rst b/docs/source/predefined_rating_scales.rst new file mode 100644 index 0000000..24ba6fa --- /dev/null +++ b/docs/source/predefined_rating_scales.rst @@ -0,0 +1,39 @@ +Predefined Rating Scales +======================== + +The transitionMatrix package supports a variety of credit rating scales. The key ones are described here in more detail. + + +The Rating Agency State Spaces and mappings are obtained from the latest (20 May 2019) Regulatory Reference: +JC 2018 11, FINAL REPORT: REVISED DRAFT ITS ON THE MAPPING OF ECAIS’ CREDIT ASSESSMENTS UNDER CRR + +DISCLAIMER: Consult the original documents from definitive mappings available at the `EBA Website `_ + + +Rating Scales currently covered +-------------------------------- + +The focus of the current selection is long-term issuer ratings scales + +* AM Best Europe-Rating Services Ltd. +* ARC Ratings S.A. +* Cerved Rating Agency S.p.A. +* Creditreform Rating AG +* DBRS Ratings Limited +* Fitch Ratings +* Moody’s Investors Service +* Scope Ratings AG +* Standard & Poor’s Ratings Services + + +Data per Scale +------------------------------------------- + +Each rating scale is a StateSpace (see :ref:`state_space_doc`) and thus inherits the attributes and methods +of that object, namely: + +* The entity defining the scale (originator) +* The full name of the scale (as most originators of rating scales offer multiple scales with different meaning an/or use) +* The definition of the scale (as a list of tuples in the form [('0', 'X1'), ... , ('N-1', 'XN)] where X are the symbols used to denote the credit state +* The CQS (credit quality score) mapping of the scale as defined by regulatory authorities (see above reference) + diff --git a/docs/source/transitionMatrix.rst b/docs/source/transitionMatrix.rst index 89272b8..245b8e7 100644 --- a/docs/source/transitionMatrix.rst +++ b/docs/source/transitionMatrix.rst @@ -35,6 +35,8 @@ TransitionMatrixSet .. automethod:: __mul__ +.. _state_space_doc: + StateSpace ~~~~~~~~~~~~~~~~~~~ diff --git a/docs/source/usage.rst b/docs/source/usage.rst index 47a28cb..5c8de10 100644 --- a/docs/source/usage.rst +++ b/docs/source/usage.rst @@ -8,4 +8,5 @@ getting started :maxdepth: 4 examples - data_formats \ No newline at end of file + data_formats + predefined_rating_scales \ No newline at end of file diff --git a/examples/python/state_space_operations.py b/examples/python/state_space_operations.py index 1f46eba..678ec6d 100644 --- a/examples/python/state_space_operations.py +++ b/examples/python/state_space_operations.py @@ -18,22 +18,40 @@ """ -import numpy as np - - import transitionMatrix as tm from transitionMatrix import SnP_Fitch2Moodys, Moodys2DBRS -from transitionMatrix.predefined import JLT -from transitionMatrix import dataset_path +from transitionMatrix.utils import dataset_generators as dg +print("Some Basics") +print(80*"=") +# Lets load a credit rating scale myState = tm.SnP_SS -print(myState.get_states()) -print(myState.get_state_labels()) -print(myState.definition) - -# Convert SnP rating to Moody's and DBRS +# Print the states +print("The States of our starting scale: ", myState.get_states()) +# Print the state labels +print("The State Labels: ", myState.get_state_labels()) +# Print the complete definition +print("The Full Description: ", myState.definition) + +# Convert SnP ratings to Moody's and DBRS # Escape R (regulatory default) and SD (selective default) +print("") +print("Convert labels to other rating scales scales") +print(80*"=") for state in myState.get_state_labels(): if state not in ['R', 'SD/D']: print(state, ' ----> (', SnP_Fitch2Moodys[state], Moodys2DBRS[SnP_Fitch2Moodys[state]],')') +print("") +print("Convert data to other scales") +print(80*"=") +print("Input S&P Labels: ") +# Generate some portfolio data and map to CQS +portfolio = dg.portfolio_labels(myState, 100) +print(portfolio) +print("") +print("Output CQS Labels: ") +mapped_portfolio = [] +for label in portfolio: + mapped_portfolio.append(myState.cqs_map(label)) +print(mapped_portfolio) \ No newline at end of file diff --git a/examples/scale_conversions.png b/examples/scale_conversions.png new file mode 100644 index 0000000..39c1717 Binary files /dev/null and b/examples/scale_conversions.png differ diff --git a/setup.py b/setup.py index 8648707..e9ebfe8 100644 --- a/setup.py +++ b/setup.py @@ -17,7 +17,7 @@ from setuptools import setup -__version__ = '0.4.5' +__version__ = '0.4.6' ver = __version__ diff --git a/transitionMatrix/__init__.py b/transitionMatrix/__init__.py index 5157825..96c0e36 100644 --- a/transitionMatrix/__init__.py +++ b/transitionMatrix/__init__.py @@ -13,13 +13,18 @@ # limitations under the License. -""" transitionMatrix - Python package for statistical analysis and visualization of state space transition events """ +""" transitionMatrix - Python package for statistical analysis and visualization of state space transition events + + + + +""" from .model import * from .estimators import * from .utils import * -__version__ = '0.4.5' +__version__ = '0.4.6' package_name = 'transitionMatrix' module_path = os.path.dirname(__file__) @@ -30,25 +35,17 @@ # PREDEFINED STATE SPACES # -# -# Rating Agency State Spaces -# - -# S&P Basic -definition = [('0', "AAA"), ('1', "AA"), ('2', "A"), ('3', "BBB"), ('4', "BB"), ('5', "B"), ('6', "CCC"), ('7', "D")] - -SnP_Simple_SS = StateSpace(definition=definition) # AM Best Europe-Rating Services Ltd. originator = 'AM Best Europe-Rating Services Ltd.' -full_name = 'Long-term issuer credit ratings scale' +full_name = 'Long-term issuer ratings scale' definition = [('0', "aaa"), ('1', "aa+"), ('2', "aa"), ('3', "aa-"), ('4', "a+"), ('5', "a"), ('6', "a-"), ('7', "bbb+"), ('8', "bbb"), ('9', "bbb-"), ('10', "bb+"), ('11', "bb"), ('12', "bb-"), ('13', "b+"), ('14', "b"), ('15', "b-"), ('16', "ccc+"), ('17', "ccc"), ('18', "ccc-"), - ('19', "cc"), ('20', "c"), ('21', "rs")] + ('19', "cc"), ('20', "c"), ('21', "d"), ('22', "s")] cqs_mapping = {'0': '1', '1': '1', '2': '1', @@ -70,11 +67,35 @@ '18': '6', '19': '6', '20': '6', - '21': '6' + '21': '6', + '22': '6' } AM_Best_SS = StateSpace(definition=definition, originator=originator, full_name=full_name, cqs_mapping=cqs_mapping) +# ARC Ratings S.A. +originator = 'Standard & Poor’s Ratings Services' +full_name = 'Medium- and long-term issuer rating scale' +definition = [('0', "AAA"), ('1', "AA"), + ('2', "A"), + ('3', "BBB"), + ('4', "BB"), + ('5', "B"), + ('6', "CCC"), ('7', "CC"), ('8', "C"), ('9', "D")] +cqs_mapping = {'0': '1', + '1': '1', + '2': '2', + '3': '3', + '4': '4', + '5': '5', + '6': '6', + '7': '6', + '8': '6', + '9': '6' + } + +ARC_SS = StateSpace(definition=definition, originator=originator, full_name=full_name, cqs_mapping=cqs_mapping) + # Cerved Rating Agency S.p.A. originator = 'AM Best Europe-Rating Services Ltd.' full_name = 'Corporate long-term rating scale' @@ -95,12 +116,33 @@ '8': '4', '9': '4', '10': '5', - '11': '4', - '12': '4' + '11': '6', + '12': '6' } Cerved_SS = StateSpace(definition=definition, originator=originator, full_name=full_name, cqs_mapping=cqs_mapping) +# Creditreform Rating AG +originator = 'Creditreform Rating AG' +full_name = 'Long-term issuer rating scale' +definition = [('0', "AAA"), ('1', "AA"), + ('2', "A"), + ('3', "BBB"), + ('4', "BB"), + ('5', "B"), ('6', "C"), ('7', "SD"), ('8', "D")] +cqs_mapping = {'0': '1', + '1': '1', + '2': '2', + '3': '4', + '4': '5', + '5': '6', + '6': '6', + '7': '6', + '8': '6' + } + +CRR_SS = StateSpace(definition=definition, originator=originator, full_name=full_name, cqs_mapping=cqs_mapping) + # DBRS Ratings Limited originator = 'DBRS Ratings Limited' full_name = 'Long-term obligations rating scale' @@ -126,7 +168,7 @@ # Fitch Ratings originator = 'Fitch Ratings' -full_name = 'Long-term issuer credit ratings scale' +full_name = 'Long-term issuer default rating scale' definition = [('0', "AAA"), ('1', "AA"), ('2', "A"), ('3', "BBB"), @@ -170,9 +212,32 @@ Moodys_SS = StateSpace(definition=definition, originator=originator, full_name=full_name, cqs_mapping=cqs_mapping) +# Scope Ratings AG +originator = 'Scope Ratings AG' +full_name = 'Long-term rating scale' +definition = [('0', "AAA"), ('1', "AA"), + ('2', "A"), + ('3', "BBB"), + ('4', "BB"), + ('5', "B"), + ('6', "CCC"), ('7', "CC"), ('8', "C"), ('9', "D")] +cqs_mapping = {'0': '1', + '1': '1', + '2': '2', + '3': '3', + '4': '4', + '5': '5', + '6': '6', + '7': '6', + '8': '6', + '9': '6' + } + +Scope_SS = StateSpace(definition=definition, originator=originator, full_name=full_name, cqs_mapping=cqs_mapping) + # Standard & Poor’s Ratings Services originator = 'Standard & Poor’s Ratings Services' -full_name = 'Long-term issuer credit ratings scale' +full_name = 'Long-term issuer credit rating scale' definition = [('0', "AAA"), ('1', "AA"), ('2', "A"), ('3', "BBB"), @@ -194,6 +259,15 @@ SnP_SS = StateSpace(definition=definition, originator=originator, full_name=full_name, cqs_mapping=cqs_mapping) +# S&P Coarse Scale +definition = [('0', "AAA"), ('1', "AA"), ('2', "A"), ('3', "BBB"), ('4', "BB"), ('5', "B"), ('6', "CCC"), ('7', "D")] + +SnP_Simple_SS = StateSpace(definition=definition) + +# +# Mappings between scales other than CQS +# + SnP_Fitch2Moodys = { 'AAA': 'Aaa', 'AA+': 'Aa1', diff --git a/transitionMatrix/model.py b/transitionMatrix/model.py index dddbc31..c80ed14 100644 --- a/transitionMatrix/model.py +++ b/transitionMatrix/model.py @@ -911,6 +911,20 @@ def describe(self): for state in self.definition: print("State Index/Label: ", state[0], " , ", state[1]) + def cqs_map(self, label): + """ + Produce a CQS for a given input label (the cqs_mapping dictionary must exist) + + """ + mapped = None + for x in self.definition: + if x[1] == label: + mapped = self.cqs_mapping[x[0]] + if mapped: + return mapped + else: + print("ERROR: Mapping failed") + class EmpiricalTransitionMatrix(object): """ The EmpiricalTransitionMatrix object stores a continuously observed Transition Matrix. It stores matrices diff --git a/transitionMatrix/utils/dataset_generators.py b/transitionMatrix/utils/dataset_generators.py index cb29337..9c6b4e6 100644 --- a/transitionMatrix/utils/dataset_generators.py +++ b/transitionMatrix/utils/dataset_generators.py @@ -136,3 +136,20 @@ def long_format(statespace, transitionmatrix, n, timesteps): data.append((i, 0, states[from_state], states[from_state])) return pd.DataFrame(data, columns=['ID', 'Time', 'From', 'To']) + + +def portfolio_labels(statespace, n): + """ + Generate a collection of credit rating states emulating a snapshot of portfolio data + Suitable for mappings and transformations of credit rating states + + :type statespace: The state space to use for the simulation + :param int n: The number of distinct entities to generate + :return: the collection + :rtype: list + + + """ + labels = [x[1] for x in statespace.definition] + collection = np.random.choice(labels, n) + return collection