feat: qgan generation + final results

.gitignore

@@ -6,9 +6,8 @@ __pycache__/
 .mypy_cache/
 .ruff_cache/
 
-outputs/
-outputs/scenarios/
-outputs/scenarios/*.csv
+outputs/*
+!outputs/real_cluster_mixture_stress_hw/
 *.egg-info/
 .DS_Store
 .env

data/scenario_dataset/README.md

@@ -0,0 +1,50 @@
+# Scenario dataset
+
+Correlated binary default scenarios sampled from every generator, side-by-side,
+across one real and two synthetic systems. Generated by
+[`scripts/build_dataset.py`](../../scripts/build_dataset.py) and committed here so
+it can be used without re-running the samplers.
+
+Regenerate (deterministic — same seed reproduces these files):
+
+```bash
+uv run python scripts/build_dataset.py            # -> data/scenario_dataset/
+```
+
+## Contents
+
+`n_samples = 4000`, `seed = 12345`.
+
+| source | kind | institutions | description |
+|---|---|---|---|
+| `real_gsib` | real | 38 | real G-SIB network + non-financial corporates (`build_system_spec`) |
+| `synthetic_16` | synthetic | 16 | community-structured synthetic net (`make_synthetic_system`) |
+| `synthetic_54` | synthetic | 54 | scale-free, ratings-based net, the n=54 hardware target (`make_scalable_system`) |
+
+Generators (one file each per source): `bernoulli`, `gaussian_copula`,
+`student_t_copula` (df=4), `entangled_born_machine`. The classical Ising
+generator is intentionally excluded — it freezes into a degenerate all-default
+state on sparse, low-PD networks.
+
+Per source directory:
+
+```
+<source>/
+    spec.json                      # the SystemSpec (marginals, correlation, names, ...)
+    <source>__<generator>.csv      # 4000 rows; one binary scenario per row; header = institutions
+    <source>__<generator>.npz      # samples + node_names + target marginals/corr + seed
+    moments.json                   # per-generator fit quality + degeneracy flag
+manifest.json                      # top-level index: shapes, seeds, moment errors
+```
+
+Each row is a scenario: `0` = institution survives, `1` = institution defaults.
+
+## Notes
+
+- On `real_gsib` the pairwise-correlation RMSE is high (~0.4) for **all**
+  generators. This is the rare-event wall, not a generator fault: at ~0.2%
+  default probabilities a co-default is essentially never observed in 4000
+  samples, so empirical correlation is dominated by noise. (This is the
+  motivation for the QAE tail-risk estimator.)
+- `moments.json` carries a `degenerate` flag per generator (collapsed support or
+  marginals far off target) as a guard.

data/scenario_dataset/manifest.json

@@ -0,0 +1,285 @@
+{
+  "n_samples": 4000,
+  "seed": 12345,
+  "sources": {
+    "real_gsib": {
+      "kind": "real",
+      "n_institutions": 38,
+      "node_names": [
+        "JPMorgan Chase",
+        "Bank of America",
+        "Citigroup",
+        "Wells Fargo",
+        "Goldman Sachs",
+        "Morgan Stanley",
+        "U.S. Bancorp",
+        "PNC Financial",
+        "Truist Financial",
+        "Bank of New York Mellon",
+        "State Street",
+        "HSBC Holdings",
+        "Barclays",
+        "Lloyds Banking Group",
+        "Deutsche Bank",
+        "Banco Santander",
+        "Banco Bilbao Vizcaya Argentaria",
+        "ING Groep",
+        "UBS Group",
+        "Mitsubishi UFJ Financial Group",
+        "Sumitomo Mitsui Financial Group",
+        "Mizuho Financial Group",
+        "Nomura Holdings",
+        "Royal Bank of Canada",
+        "Toronto-Dominion Bank",
+        "Bank of Nova Scotia",
+        "Itau Unibanco",
+        "Banco Bradesco",
+        "Apple",
+        "Microsoft",
+        "ExxonMobil",
+        "Walmart",
+        "Boeing",
+        "AT&T",
+        "Toyota Motor",
+        "Volkswagen",
+        "Siemens",
+        "Petrobras"
+      ],
+      "marginals_mean": 0.0023318421052631578,
+      "generators": {
+        "bernoulli": {
+          "shape": [
+            4000,
+            38
+          ],
+          "fit_sample_seconds": 0.0,
+          "marginal_rmse": 0.0006052424481582826,
+          "mean_default_rate": 0.0023947368421052633,
+          "n_unique_scenarios": 54,
+          "corr_rmse": 0.46893489166667135,
+          "degenerate": false
+        },
+        "gaussian_copula": {
+          "shape": [
+            4000,
+            38
+          ],
+          "fit_sample_seconds": 0.04,
+          "marginal_rmse": 0.0008746442885990552,
+          "mean_default_rate": 0.0022500000000000003,
+          "n_unique_scenarios": 72,
+          "corr_rmse": 0.44637849208606306,
+          "degenerate": false
+        },
+        "student_t_copula": {
+          "shape": [
+            4000,
+            38
+          ],
+          "fit_sample_seconds": 24.7,
+          "marginal_rmse": 0.0009536301832030011,
+          "mean_default_rate": 0.002348684210526316,
+          "n_unique_scenarios": 72,
+          "corr_rmse": 0.3678959557141127,
+          "degenerate": false
+        },
+        "entangled_born_machine": {
+          "shape": [
+            4000,
+            38
+          ],
+          "fit_sample_seconds": 0.41,
+          "marginal_rmse": 0.0006326136261573885,
+          "mean_default_rate": 0.002111842105263158,
+          "n_unique_scenarios": 53,
+          "corr_rmse": 0.43856411668045475,
+          "degenerate": false
+        }
+      }
+    },
+    "synthetic_16": {
+      "kind": "synthetic",
+      "n_institutions": 16,
+      "node_names": [
+        "Global Bank A",
+        "Global Bank B",
+        "Regional Bank",
+        "Mortgage Lender",
+        "Life Insurer",
+        "Reinsurer",
+        "Pension Fund",
+        "Credit Fund",
+        "Real Estate Fund",
+        "Industrial Corporate",
+        "Energy Corporate",
+        "Retail Corporate",
+        "Sovereign A",
+        "Sovereign B",
+        "Central Counterparty",
+        "Payments Utility"
+      ],
+      "marginals_mean": 0.025995866928254723,
+      "generators": {
+        "bernoulli": {
+          "shape": [
+            4000,
+            16
+          ],
+          "fit_sample_seconds": 0.0,
+          "marginal_rmse": 0.002368869422939838,
+          "mean_default_rate": 0.02540625,
+          "n_unique_scenarios": 122,
+          "corr_rmse": 0.19247607671412983,
+          "degenerate": false
+        },
+        "gaussian_copula": {
+          "shape": [
+            4000,
+            16
+          ],
+          "fit_sample_seconds": 0.06,
+          "marginal_rmse": 0.0030662549019893222,
+          "mean_default_rate": 0.024781249999999998,
+          "n_unique_scenarios": 176,
+          "corr_rmse": 0.0626639935705719,
+          "degenerate": false
+        },
+        "student_t_copula": {
+          "shape": [
+            4000,
+            16
+          ],
+          "fit_sample_seconds": 3.96,
+          "marginal_rmse": 0.002111160411327338,
+          "mean_default_rate": 0.024484375,
+          "n_unique_scenarios": 195,
+          "corr_rmse": 0.04798423846096638,
+          "degenerate": false
+        },
+        "entangled_born_machine": {
+          "shape": [
+            4000,
+            16
+          ],
+          "fit_sample_seconds": 0.51,
+          "marginal_rmse": 0.02178975788255229,
+          "mean_default_rate": 0.033828125,
+          "n_unique_scenarios": 271,
+          "corr_rmse": 0.11819369361000172,
+          "degenerate": false
+        }
+      }
+    },
+    "synthetic_54": {
+      "kind": "synthetic",
+      "n_institutions": 54,
+      "node_names": [
+        "Global Bank A",
+        "Global Bank B",
+        "Continental Bank",
+        "Regional Bank",
+        "Community Bank",
+        "Mortgage Lender",
+        "Trade Finance Bank",
+        "Investment Bank",
+        "Merchant Bank",
+        "Universal Bank",
+        "Savings Bank",
+        "Commercial Bank",
+        "Private Bank",
+        "Custody Bank",
+        "Cooperative Bank",
+        "Digital Bank",
+        "Pension Fund",
+        "Credit Fund",
+        "Real Estate Fund",
+        "Money Market Fund",
+        "Hedge Fund",
+        "Sovereign Wealth Fund",
+        "Mutual Fund",
+        "Asset Manager",
+        "Private Equity Fund",
+        "Infrastructure Fund",
+        "Bond Fund",
+        "Equity Fund",
+        "Industrial Corporate",
+        "Energy Corporate",
+        "Retail Corporate",
+        "Transport Corporate",
+        "Telecom Corporate",
+        "Utility Corporate",
+        "Healthcare Corporate",
+        "Materials Corporate",
+        "Consumer Goods Corporate",
+        "Technology Corporate",
+        "Construction Corporate",
+        "Aerospace Corporate",
+        "Life Insurer",
+        "Reinsurer",
+        "Health Insurer",
+        "Property Insurer",
+        "Casualty Insurer",
+        "Credit Insurer",
+        "Title Insurer",
+        "Sovereign A",
+        "Sovereign B",
+        "Sovereign C",
+        "Sovereign D",
+        "Central Counterparty",
+        "Payments Utility",
+        "Securities Depository"
+      ],
+      "marginals_mean": 0.012170370370370373,
+      "generators": {
+        "bernoulli": {
+          "shape": [
+            4000,
+            54
+          ],
+          "fit_sample_seconds": 0.0,
+          "marginal_rmse": 0.0013196169477878378,
+          "mean_default_rate": 0.011999999999999999,
+          "n_unique_scenarios": 313,
+          "corr_rmse": 0.020914191448296073,
+          "degenerate": false
+        },
+        "gaussian_copula": {
+          "shape": [
+            4000,
+            54
+          ],
+          "fit_sample_seconds": 0.82,
+          "marginal_rmse": 0.0018608291660400175,
+          "mean_default_rate": 0.012407407407407407,
+          "n_unique_scenarios": 367,
+          "corr_rmse": 0.03176753134435303,
+          "degenerate": false
+        },
+        "student_t_copula": {
+          "shape": [
+            4000,
+            54
+          ],
+          "fit_sample_seconds": 56.59,
+          "marginal_rmse": 0.001813708090359923,
+          "mean_default_rate": 0.01261111111111111,
+          "n_unique_scenarios": 400,
+          "corr_rmse": 0.1005041548982943,
+          "degenerate": false
+        },
+        "entangled_born_machine": {
+          "shape": [
+            4000,
+            54
+          ],
+          "fit_sample_seconds": 0.0,
+          "marginal_rmse": 0.0015610863975900695,
+          "mean_default_rate": 0.011819444444444445,
+          "n_unique_scenarios": 317,
+          "corr_rmse": 0.01611964525281019,
+          "degenerate": false
+        }
+      }
+    }
+  }
+}

data/scenario_dataset/real_gsib/moments.json

@@ -0,0 +1,30 @@
+{
+  "bernoulli": {
+    "marginal_rmse": 0.0006052424481582826,
+    "mean_default_rate": 0.0023947368421052633,
+    "n_unique_scenarios": 54,
+    "corr_rmse": 0.46893489166667135,
+    "degenerate": false
+  },
+  "gaussian_copula": {
+    "marginal_rmse": 0.0008746442885990552,
+    "mean_default_rate": 0.0022500000000000003,
+    "n_unique_scenarios": 72,
+    "corr_rmse": 0.44637849208606306,
+    "degenerate": false
+  },
+  "student_t_copula": {
+    "marginal_rmse": 0.0009536301832030011,
+    "mean_default_rate": 0.002348684210526316,
+    "n_unique_scenarios": 72,
+    "corr_rmse": 0.3678959557141127,
+    "degenerate": false
+  },
+  "entangled_born_machine": {
+    "marginal_rmse": 0.0006326136261573885,
+    "mean_default_rate": 0.002111842105263158,
+    "n_unique_scenarios": 53,
+    "corr_rmse": 0.43856411668045475,
+    "degenerate": false
+  }
+}