eqlx-ifrs9 0.1.0__tar.gz

eqlx_ifrs9-0.1.0/LICENSE

@@ -0,0 +1,176 @@
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eqlx_ifrs9-0.1.0/PKG-INFO

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+Metadata-Version: 2.4
+Name: eqlx-ifrs9
+Version: 0.1.0
+Summary: Deterministic IFRS 9 expected credit loss: PD term structures, staging, 12-month and lifetime ECL, scenario weighting, provision matrix. Checked against published examples. Read-only MCP server for AI agents.
+Keywords: ifrs9,ifrs 9,expected credit loss,ecl,staging,sicr,credit risk,provisioning,tfrs 9,mcp
+Author: Can Demir
+Author-email: Can Demir <can.demir@eqlx.ai>
+License-Expression: Apache-2.0
+License-File: LICENSE
+Classifier: Development Status :: 3 - Alpha
+Classifier: Intended Audience :: Financial and Insurance Industry
+Classifier: Intended Audience :: Developers
+Classifier: Programming Language :: Python :: 3
+Classifier: Topic :: Office/Business :: Financial
+Requires-Dist: numpy>=1.26
+Requires-Dist: scipy>=1.11
+Requires-Dist: mcp>=2.3.0 ; extra == 'mcp'
+Requires-Python: >=3.10
+Project-URL: Homepage, https://eqlx.org
+Project-URL: Source, https://github.com/eqlx-ai/eqlx-ifrs9
+Provides-Extra: mcp
+Description-Content-Type: text/markdown
+
+# eqlx-ifrs9
+
+Deterministic IFRS 9 expected credit loss: PD term structures, stage allocation, 12-month and
+lifetime ECL, scenario weighting, the provision matrix, and a rule profile for Turkey (BDDK).
+A Python library, a command line tool and a read-only MCP server for AI agents.
+
+It computes. It does not estimate PD or LGD models and it does not forecast the economy: PDs, LGDs,
+scenario paths and thresholds are inputs. Same input, same output, and every figure can be traced
+back to the loan, the rule and the setting that produced it.
+
+- **Explicit choices.** IFRS 9 leaves a lot to the entity: what "significant" means, how many
+  scenarios, when inside a period default happens. Each of those is a named setting, never a hidden
+  default, and settings that supervisors have publicly criticised produce a warning.
+- **Checked against published numbers.** The IASB's own illustrative examples, the transition
+  resource group's scenario example and a published rating matrix are reproduced in the test-suite;
+  everything else is checked against closed forms, direct enumeration and simulation.
+- **Built for agents.** The agent decides what to look at; the tool returns the number and the
+  reason. The MCP server only reads files in one folder and writes nothing.
+
+## Who it is for
+
+Credit risk and finance teams who want an independent recalculation of their allowance, auditors and
+model validators who need a transparent benchmark, teams in smaller lenders who do not run a vendor
+engine, and people building AI agents for credit work.
+
+## Install
+
+```bash
+pip install eqlx-ifrs9            # library and command line
+pip install "eqlx-ifrs9[mcp]"     # with the MCP server
+```
+
+Python 3.10 or later. Dependencies: NumPy and SciPy.
+
+## A first look
+
+```bash
+ifrs9 sample demo                 # a made-up portfolio of 2,011 loans, settings, and known answers
+ifrs9 run demo/loans.csv --config demo/settings.json
+```
+
+```text
+loans 2,011   exposure 2,828,567,386.34   ECL 102,343,016.39   coverage 3.62%
+
+stage      loans            exposure    share               ECL  coverage
+1          1,607    2,249,809,211.77    79.5%     12,456,032.90     0.55%
+2            348      441,415,469.37    15.6%     12,878,196.38     2.92%
+3             56      137,342,705.20     4.9%     77,008,787.11    56.07%
+
+stage 2 by primary reason
+  pd_relative                    235      309,819,436.40     10,489,482.54
+  days_past_due_backstop          56       67,610,588.76      1,669,616.00
+  forborne                        29       37,901,342.97        530,776.72
+  watchlist                       27       25,984,101.23        186,525.26
+  probation                        1          100,000.00          1,795.86
+
+scenarios (ECL if one scenario alone had full weight)
+  base          weight   60%  same stages    94,135,368.37  restaged    92,655,649.27  (53 loans change stage)
+  downside      weight   25%  same stages   132,299,414.92  restaged   142,398,307.48  (336 loans change stage)
+  upside        weight   15%  same stages    85,246,277.60  restaged    83,600,059.51  (149 loans change stage)
+  weighted / base: 1.105
+
+checks
+  stage 1 loans whose PD has tripled since origination: 0
+  stage 2 only because of days past due: 56 (15.3% of stage 2 exposure)
+  stage 1 kept by the low credit risk exemption: 1
+  loans without origination PD: 0
+```
+
+Then ask about one loan, or about a different policy:
+
+```bash
+ifrs9 loan demo/loans.csv CASE-GROUP-X-CURRENT --config demo/settings.json
+ifrs9 compare demo/loans.csv --config demo/settings.json --set staging.relative_threshold=3
+ifrs9 list demo/loans.csv --config demo/settings.json --stage 2 --reason days_past_due_backstop
+```
+
+The first command explains a loan that is not past due itself and still sits in stage 3:
+
+```json
+{
+  "loan_id": "CASE-GROUP-X-CURRENT",
+  "stage": 3,
+  "reasons": ["profile_default"],
+  "regulatory_group": 4,
+  "regulatory_reasons": [
+    "another loan of the borrower is non-performing: same group 4 (Art. 5(5))"
+  ],
+  "exposure": 5000000.0,
+  "ecl": 2750000.0,
+  "measurement": "exposure x loss rate in default"
+}
+```
+
+## As a library
+
+```python
+from eqlx_ifrs9 import PDCurve, cycle, expected_credit_loss, schedule
+from eqlx_ifrs9.staging import StagingPolicy, assess
+
+# A 36-month instalment loan, 12-month PD 3%, LGD 60%, effective interest rate 31%.
+loan = schedule.annuity(100_000, 0.30, 36)
+curve = PDCurve.flat(0.03, 36)
+res = expected_credit_loss(curve, loan.ead(), lgd=0.60, effective_interest_rate=0.31)
+res.twelve_month, res.lifetime  # 1406.99, 2351.36
+
+# The same loan in a downturn: long-run PD shifted year by year (z < 0 is a bad year).
+down = cycle.pit_curve(curve, rho=0.06, z_by_year=[-1.6, -1.0, -0.4])
+expected_credit_loss(down, loan.ead(), 0.60, 0.31).lifetime  # 4226.37
+
+# Has credit risk increased significantly? Compare with the PD that was expected at origination
+# for the SAME remaining window: two years into a five-year loan, that is years 3 to 5.
+at_origination = PDCurve.from_cumulative([0.01, 0.025, 0.045, 0.07, 0.10], periods_per_year=1)
+expected_then = at_origination.forward(2).pd_over()  # 0.0769, not the five-year 0.10
+r = assess(StagingPolicy(relative_threshold=2.0), pd_now=[0.16], pd_origination=[expected_then])
+r.stage[0], r.reason_names(0), r.pd_ratio[0]  # 2, ['pd_relative'], 2.08
+```
+
+Modules: `curves` (PD term structures), `transitions` (rating matrices, generators, cycle shift),
+`cycle` (one-factor point-in-time adjustment), `schedule` (repayment and exposure), `lgd`
+(collateral, workout, credit-impaired assets), `ecl`, `staging`, `scenarios`, `simplified`
+(provision matrix), `profiles.tr_bddk`, and for whole portfolios `data`, `config`, `engine`,
+`report`.
+
+## For AI agents (MCP)
+
+```bash
+ifrs9 mcp --root /path/to/folder
+```
+
+Claude Code, Claude Desktop or any other MCP client can then use these tools. All are read-only and
+confined to that folder; nothing is written and nothing leaves the machine.
+
+| Tool | What it returns |
+|---|---|
+| `list_files` | loan files (.csv) and settings files (.json) in the folder |
+| `describe_loans` | what a loan file contains, and what is missing, before any calculation |
+| `run_portfolio` | stage and ECL for every loan: tables by stage, segment, reason and scenario, checks, warnings |
+| `list_loans` | loans matching a filter, with every rule that fired |
+| `explain_loan` | one loan step by step: staging test, PD and ECL per scenario and year |
+| `compare_settings` | what a different threshold, weight or scenario would change |
+| `calculate_ecl` | 12-month and lifetime ECL of one instrument from plain numbers |
+| `pd_term_structure` | cumulative PD by grade from a transition matrix, with generator diagnostics |
+| `provision_matrix` | simplified approach for trade receivables |
+| `turkey_reclassification_check` | BDDK conditions for moving a loan back up, with article numbers |
+
+## Input
+
+**Loan file** (CSV, one row per instrument). Required: `loan_id`, `balance`, `eir`,
+`remaining_months`, `lgd`, and `pd_12m` or `grade`. Optional columns cover the borrower, segment,
+repayment type, undrawn limits, origination risk, days past due and status flags; the full list is
+in [`eqlx_ifrs9/data.py`](src/eqlx_ifrs9/data.py). Rates and PDs are fractions (`0.05` for 5%).
+
+**Settings** (JSON). Staging thresholds, scenarios with weights and a z path per forecast year,
+reversion after the forecast horizon, segment parameters (asset correlation, prepayment, a
+transition matrix), calculation conventions and an optional profile. `ifrs9 sample` writes a
+complete example; [`eqlx_ifrs9/config.py`](src/eqlx_ifrs9/config.py) documents every key.
+Unknown keys and out-of-range values are rejected.
+
+## How it is verified
+
+| What | Checked against |
+|---|---|
+| 12-month ECL, explicit PD | IFRS 9 Illustrative Example 8: CU1,250 |
+| Loss rate approach | Illustrative Example 9: CU750 and CU675 |
+| Exposure of revolving facilities | Illustrative Example 10: CU25,000 and CU45,000 |
+| Provision matrix | Illustrative Example 12: CU580,000; IFRS 7 IG20D: CU114 and CU145 thousand |
+| Probability weighting | Transition resource group, December 2015: CU92 against CU70 for one scenario |
+| Generators of rating matrices | Israel, Rosenthal and Wei (2001): error norms 0.002736 and 0.002686 |
+| Lifetime ECL with discounting | closed form for a bullet loan; continuous-time limit; direct enumeration |
+| The same, amortising loan | simulation of two million default times |
+| One-factor shift | the average over the cycle returns the long-run PD and matrix (numerical integration) |
+| Portfolio run | every loan recomputed with the scalar functions; independence of row order and chunking |
+| Turkey profile | article by article against the regulation text; contagion against direct enumeration |
+
+The illustrative examples do not cover multi-period discounting, several scenarios or a numeric
+staging threshold. Those parts rest on the closed forms, the enumeration and the simulation.
+Tests also pin down frequent mistakes: summing conditional PDs without survival weighting, using a
+12-month PD on a six-month loan, dividing an annual PD by twelve, giving a bullet loan no exposure
+in its last period, and comparing today's remaining-life PD with the full-life PD at origination.
+
+## Limits
+
+This is a calculation tool, not an accounting opinion and not a validated model. It covers the
+impairment arithmetic of IFRS 9 Section 5.5 for loans, undrawn commitments and trade receivables.
+It does not cover classification and measurement, hedge accounting, purchased or originated
+credit-impaired assets, or the allowance movement table. See [LIMITS.md](LIMITS.md) before relying
+on a number.
+
+## References
+
+- IFRS 9 *Financial Instruments*, Section 5.5 and Application Guidance B5.5; Illustrative Examples
+  (IFRS Foundation). TFRS 9 is the Turkish equivalent with the same paragraph numbers (KGK).
+- IFRS 7 *Financial Instruments: Disclosures*, paragraphs 35A-35N and Implementation Guidance IG20D.
+- IFRS Transition Resource Group for Impairment of Financial Instruments, meeting summaries 2015.
+- Basel Committee on Banking Supervision (2015), *Guidance on credit risk and accounting for expected
+  credit losses*.
+- European Banking Authority (2021, 2023), *IFRS 9 implementation by EU institutions*, monitoring
+  reports; ECB Banking Supervision, letter of 4 December 2020 on credit risk identification.
+- BDDK, *Kredilerin Sınıflandırılması ve Bunlar İçin Ayrılacak Karşılıklara İlişkin Usul ve Esaslar
+  Hakkında Yönetmelik*, Official Gazette 22 June 2016, no. 29750, as amended.
+- Vasicek, O. (2002), "The distribution of loan portfolio value", *Risk*.
+- Belkin, B., Suchower, S. and Forest, L. (1998), "A one-parameter representation of credit risk and
+  transition matrices", *CreditMetrics Monitor*.
+- Israel, R., Rosenthal, J. and Wei, J. (2001), "Finding generators for Markov chains via empirical
+  transition matrices, with applications to credit ratings", *Mathematical Finance* 11(2).
+- Jarrow, R., Lando, D. and Turnbull, S. (1997), "A Markov model for the term structure of credit
+  risk spreads", *Review of Financial Studies* 10(2).
+
+## License
+
+Apache-2.0. Part of [eqlx.org](https://eqlx.org): deterministic tools for AI agents in credit and
+finance. Questions: research@eqlx.ai.

eqlx_ifrs9-0.1.0/README.md

@@ -0,0 +1,213 @@
+# eqlx-ifrs9
+
+Deterministic IFRS 9 expected credit loss: PD term structures, stage allocation, 12-month and
+lifetime ECL, scenario weighting, the provision matrix, and a rule profile for Turkey (BDDK).
+A Python library, a command line tool and a read-only MCP server for AI agents.
+
+It computes. It does not estimate PD or LGD models and it does not forecast the economy: PDs, LGDs,
+scenario paths and thresholds are inputs. Same input, same output, and every figure can be traced
+back to the loan, the rule and the setting that produced it.
+
+- **Explicit choices.** IFRS 9 leaves a lot to the entity: what "significant" means, how many
+  scenarios, when inside a period default happens. Each of those is a named setting, never a hidden
+  default, and settings that supervisors have publicly criticised produce a warning.
+- **Checked against published numbers.** The IASB's own illustrative examples, the transition
+  resource group's scenario example and a published rating matrix are reproduced in the test-suite;
+  everything else is checked against closed forms, direct enumeration and simulation.
+- **Built for agents.** The agent decides what to look at; the tool returns the number and the
+  reason. The MCP server only reads files in one folder and writes nothing.
+
+## Who it is for
+
+Credit risk and finance teams who want an independent recalculation of their allowance, auditors and
+model validators who need a transparent benchmark, teams in smaller lenders who do not run a vendor
+engine, and people building AI agents for credit work.
+
+## Install
+
+```bash
+pip install eqlx-ifrs9            # library and command line
+pip install "eqlx-ifrs9[mcp]"     # with the MCP server
+```
+
+Python 3.10 or later. Dependencies: NumPy and SciPy.
+
+## A first look
+
+```bash
+ifrs9 sample demo                 # a made-up portfolio of 2,011 loans, settings, and known answers
+ifrs9 run demo/loans.csv --config demo/settings.json
+```
+
+```text
+loans 2,011   exposure 2,828,567,386.34   ECL 102,343,016.39   coverage 3.62%
+
+stage      loans            exposure    share               ECL  coverage
+1          1,607    2,249,809,211.77    79.5%     12,456,032.90     0.55%
+2            348      441,415,469.37    15.6%     12,878,196.38     2.92%
+3             56      137,342,705.20     4.9%     77,008,787.11    56.07%
+
+stage 2 by primary reason
+  pd_relative                    235      309,819,436.40     10,489,482.54
+  days_past_due_backstop          56       67,610,588.76      1,669,616.00
+  forborne                        29       37,901,342.97        530,776.72
+  watchlist                       27       25,984,101.23        186,525.26
+  probation                        1          100,000.00          1,795.86
+
+scenarios (ECL if one scenario alone had full weight)
+  base          weight   60%  same stages    94,135,368.37  restaged    92,655,649.27  (53 loans change stage)
+  downside      weight   25%  same stages   132,299,414.92  restaged   142,398,307.48  (336 loans change stage)
+  upside        weight   15%  same stages    85,246,277.60  restaged    83,600,059.51  (149 loans change stage)
+  weighted / base: 1.105
+
+checks
+  stage 1 loans whose PD has tripled since origination: 0
+  stage 2 only because of days past due: 56 (15.3% of stage 2 exposure)
+  stage 1 kept by the low credit risk exemption: 1
+  loans without origination PD: 0
+```
+
+Then ask about one loan, or about a different policy:
+
+```bash
+ifrs9 loan demo/loans.csv CASE-GROUP-X-CURRENT --config demo/settings.json
+ifrs9 compare demo/loans.csv --config demo/settings.json --set staging.relative_threshold=3
+ifrs9 list demo/loans.csv --config demo/settings.json --stage 2 --reason days_past_due_backstop
+```
+
+The first command explains a loan that is not past due itself and still sits in stage 3:
+
+```json
+{
+  "loan_id": "CASE-GROUP-X-CURRENT",
+  "stage": 3,
+  "reasons": ["profile_default"],
+  "regulatory_group": 4,
+  "regulatory_reasons": [
+    "another loan of the borrower is non-performing: same group 4 (Art. 5(5))"
+  ],
+  "exposure": 5000000.0,
+  "ecl": 2750000.0,
+  "measurement": "exposure x loss rate in default"
+}
+```
+
+## As a library
+
+```python
+from eqlx_ifrs9 import PDCurve, cycle, expected_credit_loss, schedule
+from eqlx_ifrs9.staging import StagingPolicy, assess
+
+# A 36-month instalment loan, 12-month PD 3%, LGD 60%, effective interest rate 31%.
+loan = schedule.annuity(100_000, 0.30, 36)
+curve = PDCurve.flat(0.03, 36)
+res = expected_credit_loss(curve, loan.ead(), lgd=0.60, effective_interest_rate=0.31)
+res.twelve_month, res.lifetime  # 1406.99, 2351.36
+
+# The same loan in a downturn: long-run PD shifted year by year (z < 0 is a bad year).
+down = cycle.pit_curve(curve, rho=0.06, z_by_year=[-1.6, -1.0, -0.4])
+expected_credit_loss(down, loan.ead(), 0.60, 0.31).lifetime  # 4226.37
+
+# Has credit risk increased significantly? Compare with the PD that was expected at origination
+# for the SAME remaining window: two years into a five-year loan, that is years 3 to 5.
+at_origination = PDCurve.from_cumulative([0.01, 0.025, 0.045, 0.07, 0.10], periods_per_year=1)
+expected_then = at_origination.forward(2).pd_over()  # 0.0769, not the five-year 0.10
+r = assess(StagingPolicy(relative_threshold=2.0), pd_now=[0.16], pd_origination=[expected_then])
+r.stage[0], r.reason_names(0), r.pd_ratio[0]  # 2, ['pd_relative'], 2.08
+```
+
+Modules: `curves` (PD term structures), `transitions` (rating matrices, generators, cycle shift),
+`cycle` (one-factor point-in-time adjustment), `schedule` (repayment and exposure), `lgd`
+(collateral, workout, credit-impaired assets), `ecl`, `staging`, `scenarios`, `simplified`
+(provision matrix), `profiles.tr_bddk`, and for whole portfolios `data`, `config`, `engine`,
+`report`.
+
+## For AI agents (MCP)
+
+```bash
+ifrs9 mcp --root /path/to/folder
+```
+
+Claude Code, Claude Desktop or any other MCP client can then use these tools. All are read-only and
+confined to that folder; nothing is written and nothing leaves the machine.
+
+| Tool | What it returns |
+|---|---|
+| `list_files` | loan files (.csv) and settings files (.json) in the folder |
+| `describe_loans` | what a loan file contains, and what is missing, before any calculation |
+| `run_portfolio` | stage and ECL for every loan: tables by stage, segment, reason and scenario, checks, warnings |
+| `list_loans` | loans matching a filter, with every rule that fired |
+| `explain_loan` | one loan step by step: staging test, PD and ECL per scenario and year |
+| `compare_settings` | what a different threshold, weight or scenario would change |
+| `calculate_ecl` | 12-month and lifetime ECL of one instrument from plain numbers |
+| `pd_term_structure` | cumulative PD by grade from a transition matrix, with generator diagnostics |
+| `provision_matrix` | simplified approach for trade receivables |
+| `turkey_reclassification_check` | BDDK conditions for moving a loan back up, with article numbers |
+
+## Input
+
+**Loan file** (CSV, one row per instrument). Required: `loan_id`, `balance`, `eir`,
+`remaining_months`, `lgd`, and `pd_12m` or `grade`. Optional columns cover the borrower, segment,
+repayment type, undrawn limits, origination risk, days past due and status flags; the full list is
+in [`eqlx_ifrs9/data.py`](src/eqlx_ifrs9/data.py). Rates and PDs are fractions (`0.05` for 5%).
+
+**Settings** (JSON). Staging thresholds, scenarios with weights and a z path per forecast year,
+reversion after the forecast horizon, segment parameters (asset correlation, prepayment, a
+transition matrix), calculation conventions and an optional profile. `ifrs9 sample` writes a
+complete example; [`eqlx_ifrs9/config.py`](src/eqlx_ifrs9/config.py) documents every key.
+Unknown keys and out-of-range values are rejected.
+
+## How it is verified
+
+| What | Checked against |
+|---|---|
+| 12-month ECL, explicit PD | IFRS 9 Illustrative Example 8: CU1,250 |
+| Loss rate approach | Illustrative Example 9: CU750 and CU675 |
+| Exposure of revolving facilities | Illustrative Example 10: CU25,000 and CU45,000 |
+| Provision matrix | Illustrative Example 12: CU580,000; IFRS 7 IG20D: CU114 and CU145 thousand |
+| Probability weighting | Transition resource group, December 2015: CU92 against CU70 for one scenario |
+| Generators of rating matrices | Israel, Rosenthal and Wei (2001): error norms 0.002736 and 0.002686 |
+| Lifetime ECL with discounting | closed form for a bullet loan; continuous-time limit; direct enumeration |
+| The same, amortising loan | simulation of two million default times |
+| One-factor shift | the average over the cycle returns the long-run PD and matrix (numerical integration) |
+| Portfolio run | every loan recomputed with the scalar functions; independence of row order and chunking |
+| Turkey profile | article by article against the regulation text; contagion against direct enumeration |
+
+The illustrative examples do not cover multi-period discounting, several scenarios or a numeric
+staging threshold. Those parts rest on the closed forms, the enumeration and the simulation.
+Tests also pin down frequent mistakes: summing conditional PDs without survival weighting, using a
+12-month PD on a six-month loan, dividing an annual PD by twelve, giving a bullet loan no exposure
+in its last period, and comparing today's remaining-life PD with the full-life PD at origination.
+
+## Limits
+
+This is a calculation tool, not an accounting opinion and not a validated model. It covers the
+impairment arithmetic of IFRS 9 Section 5.5 for loans, undrawn commitments and trade receivables.
+It does not cover classification and measurement, hedge accounting, purchased or originated
+credit-impaired assets, or the allowance movement table. See [LIMITS.md](LIMITS.md) before relying
+on a number.
+
+## References
+
+- IFRS 9 *Financial Instruments*, Section 5.5 and Application Guidance B5.5; Illustrative Examples
+  (IFRS Foundation). TFRS 9 is the Turkish equivalent with the same paragraph numbers (KGK).
+- IFRS 7 *Financial Instruments: Disclosures*, paragraphs 35A-35N and Implementation Guidance IG20D.
+- IFRS Transition Resource Group for Impairment of Financial Instruments, meeting summaries 2015.
+- Basel Committee on Banking Supervision (2015), *Guidance on credit risk and accounting for expected
+  credit losses*.
+- European Banking Authority (2021, 2023), *IFRS 9 implementation by EU institutions*, monitoring
+  reports; ECB Banking Supervision, letter of 4 December 2020 on credit risk identification.
+- BDDK, *Kredilerin Sınıflandırılması ve Bunlar İçin Ayrılacak Karşılıklara İlişkin Usul ve Esaslar
+  Hakkında Yönetmelik*, Official Gazette 22 June 2016, no. 29750, as amended.
+- Vasicek, O. (2002), "The distribution of loan portfolio value", *Risk*.
+- Belkin, B., Suchower, S. and Forest, L. (1998), "A one-parameter representation of credit risk and
+  transition matrices", *CreditMetrics Monitor*.
+- Israel, R., Rosenthal, J. and Wei, J. (2001), "Finding generators for Markov chains via empirical
+  transition matrices, with applications to credit ratings", *Mathematical Finance* 11(2).
+- Jarrow, R., Lando, D. and Turnbull, S. (1997), "A Markov model for the term structure of credit
+  risk spreads", *Review of Financial Studies* 10(2).
+
+## License
+
+Apache-2.0. Part of [eqlx.org](https://eqlx.org): deterministic tools for AI agents in credit and
+finance. Questions: research@eqlx.ai.