creditriskengine 0.2.0__tar.gz

creditriskengine-0.2.0/.github/workflows/ci.yml

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+name: CI
+
+on:
+  push:
+    branches: [main]
+  pull_request:
+    branches: [main]
+
+jobs:
+  test:
+    runs-on: ubuntu-latest
+    strategy:
+      matrix:
+        python-version: ["3.11", "3.12"]
+    steps:
+      - uses: actions/checkout@v4
+      - name: Set up Python ${{ matrix.python-version }}
+        uses: actions/setup-python@v5
+        with:
+          python-version: ${{ matrix.python-version }}
+      - name: Install dependencies
+        run: |
+          python -m pip install --upgrade pip
+          pip install -e ".[dev]"
+      - name: Lint with ruff
+        run: ruff check src/ tests/
+      - name: Type check with mypy
+        run: mypy src/creditriskengine/
+      - name: Test with pytest
+        run: pytest

creditriskengine-0.2.0/.github/workflows/release.yml

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+name: Release
+
+on:
+  push:
+    tags: ["v*"]
+
+jobs:
+  publish:
+    runs-on: ubuntu-latest
+    permissions:
+      id-token: write
+    steps:
+      - uses: actions/checkout@v4
+      - uses: actions/setup-python@v5
+        with:
+          python-version: "3.12"
+      - name: Build
+        run: |
+          pip install build
+          python -m build
+      - name: Publish to PyPI
+        uses: pypa/gh-action-pypi-publish@release/v1

creditriskengine-0.2.0/.gitignore

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+# Byte-compiled / optimized / DLL files
+__pycache__/
+*.py[cod]
+*$py.class
+
+# C extensions
+*.so
+
+# Distribution / packaging
+build/
+dist/
+*.egg-info/
+*.egg
+
+# Virtual environments
+.venv/
+venv/
+ENV/
+
+# Environment variables
+.env
+
+# Type checking
+.mypy_cache/
+
+# Testing
+.pytest_cache/
+.coverage
+htmlcov/
+
+# IDE
+.idea/
+.vscode/
+*.swp
+*.swo
+
+# OS
+.DS_Store
+Thumbs.db

creditriskengine-0.2.0/CHANGELOG.md

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+# Changelog
+
+All notable changes to this project will be documented in this file.
+
+## [0.2.0] - 2026-03-24
+
+### Added
+
+**Spec Compliance (8 Gap Fixes)**
+- QRRE transactor 0.75× RW scalar (BCBS CRE31.9 footnote 15)
+- UK PRA loan-splitting for residential RE (`uk_pra_loan_splitting_rre()`)
+- BoE ACS stress testing class with 5-year horizon and CET1 hurdle tracking
+- 13 spec-aligned re-export modules for file granularity compliance
+- SA Bank SCRA grade routing fix through `assign_sa_risk_weight()` dispatcher
+- `is_short_term` parameter wired through SA bank risk weight dispatcher
+
+**New Modules**
+- Credit Risk Mitigation engine (`rwa/crm.py`): comprehensive approach,
+  simple approach, guarantee substitution, supervisory haircuts, maturity
+  mismatch (CRE22)
+- Operational Risk SMA (`rwa/operational_risk.py`): Business Indicator
+  Component, Internal Loss Multiplier (OPE25)
+- Market Risk FRTB integration (`rwa/market_risk.py`): SbM credit spread,
+  Default Risk Charge, Residual Risk Add-on (MAR)
+- Audit trail (`core/audit.py`): `CalculationRecord`, `AuditTrail` with
+  JSON export and DataFrame output
+- YAML schema validation (`regulatory/schema.py`): config validation,
+  input sanitization, range checks
+- Structured logging (`core/logging_config.py`): JSON formatter for
+  production log aggregation
+
+**Documentation**
+- MkDocs site with Material theme (`mkdocs.yml`)
+- API reference for all modules
+- User guides: IRB, SA, ECL, stress testing, model validation
+- Regulatory disclaimers with interpretation choices table
+- Regulatory config versioning strategy
+- Performance benchmarks (`benchmarks/bench_portfolio.py`)
+
+**Packaging**
+- `py.typed` PEP 561 marker for typed package
+- Upper-bounded dependency versions (numpy<3.0, scipy<2.0, etc.)
+- Project URLs (homepage, docs, issues, changelog)
+- Python 3.13 classifier added
+
+### Changed
+- EU CRR3 YAML: full 7-bucket LTV tables for residential and commercial RE,
+  detailed AIRB restrictions with revenue threshold, infrastructure supporting
+  factor
+- EU CRR3 YAML: LGD supervisory values corrected (secured: 0.20→0.10,
+  other: 0.25→0.15) per CRE32.22-24
+- EU CRR3 YAML: PD floor corrected from 5 bps to 3 bps per CRE32.13
+- UK PRA YAML: LGD supervisory values corrected, loan-splitting config added
+
+### Tests
+- 1,200+ tests with 100% line coverage
+- Regulatory back-testing against Basel Committee worked examples
+- Integration tests with 10,000+ exposure portfolios
+- Cross-validation against known vendor reference ranges
+- 0 ruff lint errors, 0 mypy type errors
+
+## [0.1.0] - 2026-03-22
+
+### Added
+
+**Core**
+- `Exposure` and `Collateral` Pydantic data models with field validation
+- `Portfolio` container with filtering (by approach, default status)
+- 17-value `Jurisdiction` enum (BCBS, EU, UK, US, India, + 12 more)
+- Full enum set: `IRBAssetClass`, `SAExposureClass`, `CreditQualityStep`,
+  `IFRS9Stage`, `CollateralType`, `CRMApproach`, `DefaultDefinition`
+- Custom exception hierarchy (`ConfigurationError`, `JurisdictionError`, etc.)
+
+**RWA Calculation**
+- Standardized Approach (CRE20): sovereign, bank (ECRA/SCRA), corporate,
+  retail, RRE/CRE LTV-based tables, ADC, equity, defaulted exposure classes
+- Jurisdiction overrides: UK PRA 65% unrated IG, EU SME supporting factor,
+  India RBI residential mortgage thresholds
+- IRB formulas (CRE31): asset correlations for all 5 classes, SME firm-size
+  adjustment, maturity adjustment, capital requirement K, risk weight dispatcher
+- Output floor (RBC25): phase-in schedules for 10 jurisdictions including
+  EU transitional 25% cap (CRR3 Art. 92a(3))
+
+**ECL Engines**
+- IFRS 9: 12-month and lifetime ECL, 3-stage assignment with DPD backstop,
+  SICR assessment (relative/absolute PD change), lifetime PD term structures
+  (from annual PDs or transition matrices), TTC-to-PIT conversion (Z-factor),
+  macro overlay adjustments, probability-weighted scenario ECL
+- CECL (ASC 326): PD/LGD lifetime method, loss-rate method, WARM, vintage
+  analysis, DCF, qualitative Q-factor adjustments (8 interagency categories)
+- Ind AS 109: RBI 90 DPD NPA threshold, delegates to IFRS 9 calculation
+
+**PD/LGD/EAD Modeling**
+- PD scorecard: logistic score, score-to-PD, PD-to-scorecard-points,
+  master scale construction, rating grade assignment
+- PD calibration: anchor-point method, Bayesian calibration,
+  Vasicek conditional (stressed) PD
+- LGD model: workout LGD with discounting, downturn LGD (additive/haircut/
+  regulatory methods), LGD term structure, A-IRB LGD floors (CRE32.25)
+- EAD model: EAD calculation, realized CCF estimation, supervisory CCFs
+  (CRE32.29-32), A-IRB CCF floor, EAD term structure with amortization
+
+**Concentration Risk**
+- Single-name concentration (HHI, top-N shares)
+- Sector concentration via HHI
+- Gordy (2003) Granularity Adjustment for Pillar 2
+
+**Model Validation**
+- Discrimination: AUROC (Mann-Whitney), Gini, KS, CAP curve, IV, Somers' D
+- Calibration: binomial test, Hosmer-Lemeshow, Spiegelhalter, Basel traffic
+  light (green/yellow/red), Jeffreys Bayesian test, Brier score
+- Stability: PSI, CSI, HHI, migration matrix stability (Frobenius norm)
+- Backtesting: PD backtest summary statistics
+- Benchmarking: model-vs-benchmark metric comparison
+- Reporting: validation summary with traffic-light assessment
+
+**Portfolio Risk**
+- Vasicek ASRF: conditional default rate, loss quantile, EL/UL/EC,
+  full loss distribution PDF
+- Gaussian copula: single-factor and multi-factor Monte Carlo with
+  antithetic variates, credit VaR, expected shortfall
+- Economic capital via single-factor simulation
+- Parametric credit VaR and marginal VaR contribution
+- Stress testing: PD/LGD stress application, RWA impact calculation
+
+**Regulatory Reporting**
+- COREP credit risk summary (8% capital requirement, floor binding)
+- Pillar 3 credit risk disclosure template
+- Model inventory entry with RAG assessment
+
+**Multi-Jurisdiction**
+- 17 jurisdiction YAML configs with risk weights, PD/LGD floors, output
+  floor schedules, default definitions, capital requirements
+- Jurisdictions: BCBS, EU, UK, US, India, Singapore, Hong Kong, Japan,
+  Australia, Canada, China, South Korea, UAE, Saudi Arabia, South Africa,
+  Brazil, Malaysia
+- YAML config loader with jurisdiction-to-file mapping
+
+**Infrastructure**
+- GitHub Actions CI: Python 3.11/3.12, ruff, mypy, pytest with coverage
+- GitHub Actions release workflow
+- Example portfolio and run configuration files
+- Documentation: architecture, getting started, regulatory mapping
+
+### Tests
+- 384+ tests covering all modules
+- Test coverage: 89%+
+- 0 ruff lint errors, 0 mypy type errors

creditriskengine-0.2.0/CONTRIBUTING.md

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+# Contributing to CreditRiskEngine
+
+Thank you for your interest in contributing! This document explains how to get
+started.
+
+## Development Setup
+
+```bash
+git clone https://github.com/ankitjha67/baselkit.git
+cd baselkit
+pip install -e ".[dev]"
+```
+
+Requires **Python 3.11+**.
+
+## Running Checks
+
+All three must pass before submitting a PR:
+
+```bash
+pytest                       # Tests (100% line coverage required)
+ruff check src/ tests/       # Linting
+mypy src/creditriskengine/   # Type checking (strict mode)
+```
+
+## Pull Request Process
+
+1. Fork the repo and create a feature branch from `main`.
+2. Make your changes. Add or update tests to maintain 100% coverage.
+3. Ensure `pytest`, `ruff check`, and `mypy` all pass locally.
+4. Write a clear commit message describing **why** the change is needed.
+5. Open a PR against `main`. The CI pipeline will re-run all checks.
+
+## Code Style
+
+- Follow existing patterns in the codebase.
+- All public functions must have docstrings with parameter documentation.
+- Regulatory functions must cite the relevant BCBS/CRR/IFRS paragraph
+  (e.g., "BCBS CRE31.5").
+- Type annotations are mandatory (`mypy --strict`).
+
+## Regulatory Contributions
+
+If your change affects a regulatory calculation:
+
+- Reference the specific regulatory paragraph in the docstring.
+- Document any interpretation choices in the PR description.
+- Add backtesting or reference-value tests where possible.
+- Review [docs/regulatory_disclaimers.md](docs/regulatory_disclaimers.md) to
+  ensure disclaimers remain accurate.
+
+## Reporting Issues
+
+Open an issue on [GitHub Issues](https://github.com/ankitjha67/baselkit/issues)
+with:
+
+- A clear description of the bug or feature request.
+- For bugs: steps to reproduce, expected vs. actual behavior.
+- For regulatory issues: cite the paragraph and your interpretation.
+
+## License
+
+By contributing you agree that your contributions will be licensed under the
+Apache 2.0 license (see [LICENSE](LICENSE)).

creditriskengine-0.2.0/LICENSE

@@ -0,0 +1,201 @@
+
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