def adjust_NonRegionalCountryWeights(self, countryWeightsDict,
nonRegionalValidationResult):
"""In NSBL case, adjust the nonregional total country weights
"""
newCountryWeightDict = {}
adjusted_Non_Regional_CountryWeightDict = {}
adjusted_Regional_CountryWeightDict = {}
targetWeights = RISK_LIMIT_DICT_SPB_ASSUMPTIONS.get(
'Non_Regional').get('NSBL')
nonRegionalCountriesInScope = list(nonRegionalValidationResult.keys())
totalNonRegionalWeightsOrigin = sum(
list(nonRegionalValidationResult.values()))
adjustWeights = totalNonRegionalWeightsOrigin - targetWeights
originalWeightPropotion_Non_Regional = {
country: weight / totalNonRegionalWeightsOrigin
for country, weight in countryWeightsDict.items()
if country in nonRegionalCountriesInScope
}
for country, weight in nonRegionalValidationResult.items():
newWeight = originalWeightPropotion_Non_Regional.get(
country) * targetWeights
adjusted_Non_Regional_CountryWeightDict[country] = newWeight
newCountryWeightDict = adjusted_Non_Regional_CountryWeightDict
sumWeights_Regional = sum(
weight for country, weight in countryWeightsDict.items()
if country not in (nonRegionalCountriesInScope +
self.countriesToAdjust))
originalWeightPropotion_Regional = {
country: weight / sumWeights_Regional
for country, weight in countryWeightsDict.items()
if country not in (nonRegionalCountriesInScope +
self.countriesToAdjust)
}
for country, originalWeight in countryWeightsDict.items():
if (country in nonRegionalCountriesInScope) or (
country in self.countriesToAdjust):
continue
newWeight = originalWeightPropotion_Regional.get(
country) * adjustWeights + originalWeight
adjusted_Regional_CountryWeightDict[country] = newWeight
newCountryWeightDict.update(adjusted_Regional_CountryWeightDict)
#for those not to ajust couries, get their original weight back to final country weights
for country in self.countriesToAdjust:
newCountryWeightDict.update({country: countryWeightsDict[country]})
newCountryWeightDict = self.updateCountryWeights(newCountryWeightDict)
#self.utils.reOrderCountryWeightDict(newCountryWeightDict, reverse = True)
newCountryWeightsList = list(newCountryWeightDict.values())
#self.countriesToAdjust = self.countriesToAdjust + list(nonRegionalValidationResult.keys())
self.nonRegionalCountriesNotToAdjust = nonRegionalCountriesInScope
return newCountryWeightsList, newCountryWeightDict
def _valiadateNonRegionalLimit(self, countryWeightsDict):
nonRegionalWeightsTotal = sum([
countryWeightsDict.get(country, 0)
for country in self.nonRegional_NSBLMembers
])
if round(nonRegionalWeightsTotal,
4) > RISK_LIMIT_DICT_SPB_ASSUMPTIONS.get('Non_Regional').get(
'NSBL'):
return {
country: weight
for country, weight in countryWeightsDict.items()
if country in self.nonRegional_NSBLMembers
}
else:
return {}
def adjust_ChinaWeights(self, countryWeightsDict,
highRatingCountryWeightExcludeChina):
newCountryWeightDict = {}
adjusted_ChinaCountryWeightDict = {}
targetWeight = RISK_LIMIT_DICT_SPB_ASSUMPTIONS.get('China').get('NSBL')
chinaOriginalWeight = countryWeightsDict.get('CHN', 0)
weightToAdjust = chinaOriginalWeight - targetWeight
sumWeights_HighRatingCountry_ExcludeChina = sum(
weight
for country, weight in highRatingCountryWeightExcludeChina.items()
if country not in self.countriesToAdjust)
originalWeightPropotion_HighRatingCountry_ExcludeChina = {
country: weight / sumWeights_HighRatingCountry_ExcludeChina
for country, weight in highRatingCountryWeightExcludeChina.items()
if country not in self.countriesToAdjust
}
adjusted_ChinaCountryWeightDict['CHN'] = targetWeight
for country, originalWeight in highRatingCountryWeightExcludeChina.items(
):
if country in self.countriesToAdjust:
continue
newWeight = originalWeightPropotion_HighRatingCountry_ExcludeChina.get(
country) * weightToAdjust + originalWeight
adjusted_ChinaCountryWeightDict[country] = newWeight
for country in self.fullCountryList:
if adjusted_ChinaCountryWeightDict.get(country):
newCountryWeightDict[
country] = adjusted_ChinaCountryWeightDict.get(country)
else:
newCountryWeightDict[country] = countryWeightsDict.get(country)
print('total weights: {0}'.format(
sum(list(newCountryWeightDict.values()))))
newCountryWeightDict = self.updateCountryWeights(newCountryWeightDict)
#self.utils.reOrderCountryWeightDict(newCountryWeightDict, reverse = True)
newCountryWeightsList = list(newCountryWeightDict.values())
return newCountryWeightsList, newCountryWeightDict
def adjust_NonRegionalCountryWeights(self, countryWeightsDict, nonRegionalValidationResult):
"""In SBL case, adjust the nonregional total country weights
"""
newCountryWeightDict = {}
adjusted_Non_Regional_CountryWeightDict = {}
adjusted_Regional_CountryWeightDict = {}
targetWeights = RISK_LIMIT_DICT_SPB_ASSUMPTIONS.get('Non_Regional').get('SBL')
nonRegionalCountriesInScope = list(nonRegionalValidationResult.keys())
totalNonRegionalWeightsOrigin = sum(list(nonRegionalValidationResult.values()))
adjustWeights = totalNonRegionalWeightsOrigin - targetWeights
originalWeightPropotion_Non_Regional = { country : weight/totalNonRegionalWeightsOrigin for country, weight in countryWeightsDict.items() if country in nonRegionalCountriesInScope}
for country, weight in nonRegionalValidationResult.items():
newWeight = originalWeightPropotion_Non_Regional.get(country) * targetWeights
adjusted_Non_Regional_CountryWeightDict[country] = newWeight
newCountryWeightDict = adjusted_Non_Regional_CountryWeightDict
sumWeights_Regional = sum(weight for country, weight in countryWeightsDict.items() if country not in (nonRegionalCountriesInScope + self.countriesNotToAdjust))
#get the regional countries and take out those "not to adjust" countries from the regional country list. "Not to Adjust" countries including those already reached to the limit like China if reached to 10%
originalWeightPropotion_Regional = { country : weight/sumWeights_Regional for country, weight in countryWeightsDict.items() if country not in (nonRegionalCountriesInScope + self.countriesNotToAdjust)}
for country, originalWeight in countryWeightsDict.items():
if (country in nonRegionalCountriesInScope) or (country in self.countriesNotToAdjust):
continue
newWeight = originalWeightPropotion_Regional.get(country) * adjustWeights + originalWeight
adjusted_Regional_CountryWeightDict[country] = newWeight
newCountryWeightDict.update(adjusted_Regional_CountryWeightDict)
for country in self.countriesNotToAdjust:
newCountryWeightDict.update({country: countryWeightsDict[country]})
newCountryWeightDict = self.updateCountryWeights(newCountryWeightDict)
print(len(list(newCountryWeightDict.values())))
print(sum(list(newCountryWeightDict.values())))
newCountryWeightDict = self.updateCountryWeights(newCountryWeightDict)
#update the not to adjust list to make non regional coutnries not to adjust further
#self.countriesNotToAdjust = self.countriesNotToAdjust + nonRegionalCountriesInScope
self.nonRegionalCountriesNotToAdjust = nonRegionalCountriesInScope
return newCountryWeightDict
def _valiadateChinaLimit(self, countryWeightsDict):
chinaWeights = countryWeightsDict.get('CHN')
return chinaWeights > RISK_LIMIT_DICT_SPB_ASSUMPTIONS.get('China').get('SBL')
def adjustNSBLIndividualCountryExposure(self,
countryWeights,
isAdjustMaxWeight=False):
"""Function used to adjust for individual country weights based on particular categories
- isAdjustMaxWeight: Any NSBL Country weights should never be bigger than the max of SBL country weights, if so, adjust the country weights
- isAdjustChinaExposure: per President.Jin in April 2019 BOD, the Total exposure of China can not exceed 10%. we will set 10% of 10% as buffer
thus the max of CHina country weights will be 9.9%
"""
weightsToAdjust = 0
newCountryWeightDict = {}
countriesToAdjustLocal = []
print("total weights origin: {0}".format(
sum(list(countryWeights.values()))))
if isAdjustMaxWeight:
#1. get the sum of aggregrated extra weights for those overweighted countries comparing with max(sbl(any_countries)
#2. get the new weights of the overweighted countries as the max(SBL)
for country, weight in countryWeights.items():
if weight > self.maxWeight_SBL:
#self.countriesToAdjust.append(country) #get overweighted country list as countries to adjust
countriesToAdjustLocal.append(
country
) #get overweighted country list as countries to adjust
weightsToAdjust = weightsToAdjust + (
weight - self.maxWeight_SBL
) #get aggregrated extra weights over max(SBL) for all countries
newCountryWeightDict[
country] = self.maxWeight_SBL #set current overweighted country to use the max(SBL) as new weight
chinaLimit = RISK_LIMIT_DICT_SPB_ASSUMPTIONS.get('China',
0).get('NSBL', 0)
if countryWeights.get('CHN', 0) >= (chinaLimit - chinaLimit * 0.1):
#threshold for check if china already in a warning area which are not appliable for adjustment pool
self.countriesToAdjust.append('CHN')
newCountryWeightDict['CHN'] = countryWeights.get('CHN', 0)
else:
raise ("No Adjustment Choice Made, please double check your code!")
#if no country weights to be adjusted, return the input countryWeights
if not newCountryWeightDict:
return countryWeights
#proportionally adjust the rest country weights by applying the aggregrated extra weights to their original proportion within the sub country group excluding the overweighted countries
sumWeights_ExcludeAdjustCountry = sum(
weight for country, weight in countryWeights.items()
if country not in (countriesToAdjustLocal +
self.countriesToAdjust))
originalWeightPropotion_ExcludeAdjustCountry = {
country: weight / sumWeights_ExcludeAdjustCountry
for country, weight in countryWeights.items()
if country not in (countriesToAdjustLocal + self.countriesToAdjust)
}
for country, originalWeight in countryWeights.items():
if country in (countriesToAdjustLocal + self.countriesToAdjust):
continue
newWeight = originalWeightPropotion_ExcludeAdjustCountry.get(
country
) * weightsToAdjust + originalWeight #countryWeights.get(country)
newCountryWeightDict[country] = newWeight
#attatch adjusted countries to the list for the use of excluding them from the weighted average adjustment
self.countriesToAdjust = self.countriesToAdjust + countriesToAdjustLocal
retCountryWeights = dict(
sorted(newCountryWeightDict.items(),
key=lambda kv: kv[1],
reverse=True)
) #return the sorted weighted countries by decending order
retCountryWeights = self.updateCountryWeights(retCountryWeights)
retCountryWeightsList = list(newCountryWeightDict.values())
print("total weights: {0}".format(sum(list(
retCountryWeights.values()))))
return retCountryWeightsList, retCountryWeights