merton.scenarios

Scenario and stress-testing primitives.

A scenario is a transformation Firm → Firm (or, more generally, Firm → Iterable[Firm]) that mutates one or more model inputs to reflect a hypothesised market or balance-sheet state. Composed with any MertonModel (or extension), scenarios produce stressed DD/PD outputs without rewriting the calibration code.

The submodule layout:

  • merton.scenarios.shocks — atomic shocks (equity, vol, rate, debt).

  • merton.scenarios.climate — climate-transition scenarios driven by carbon-price paths and sectoral PD multipliers (TCFD / NGFS-aligned).

  • merton.scenarios.predefined — packaged reference scenarios (NGFS Phase V net-zero, delayed transition, current policies, fragmented world; CCAR / EBA in future phases).

All scenarios implement the same protocol so users can mix and match:

from merton.scenarios import equity_shock, ClimateScenario
from merton.scenarios.predefined.ngfs import net_zero_2050

stress = net_zero_2050()
stressed_firm = stress.apply(firm, sector=Sector.ENERGY)

Submodules