feat: calculation of Credit Quality Steps for Solvency II

[MarcoGER]

Hi Andreas,

great library, thanks. I realized that your calculations are similar to determining the credit quality step (CQS) under the Solvency II regime. It might be a useful feature to calculate that CQS according to official Solvency II regulation as for example illustrated here: https://www.eiopa.europa.eu/sites/default/files/joint-committee/jc-2021-39-final-report-amendment-its-ecais-mapping-solvency-ii.pdf

Best regards, Marco

[a-vester]

Hi Marco,

Great idea! The translation from ratings to CQS is comparable to the translations into rating scores, which is already a feature of pyratings.

According to the link provided, there are more than 25 rating agencies listed. I expect not all of them to be relevant in practice. That is, I suggest to support the main rating agencies, i.e. Fitch, Moody's, S&P, and DBRS.

The long- and short-term translation tables should look as follows:

Long term ratings

Moody’s	S&P	Fitch	DBRS	CQS
Aaa	AAA	AAA	AAA	0
Aa1	AA+	AA+	AAH	1
Aa2	AA	AA	AA	1
Aa3	AA-	AA-	AAL	1
A1	A+	A+	AH	2
A2	A	A	A	2
A3	A-	A-	AL	2
Baa1	BBB+	BBB+	BBBH	3
Baa2	BBB	BBB	BBB	3
Baa3	BBB-	BBB-	BBBL	3
Ba1	BB+	BB+	BBH	4
Ba2	BB	BB	BB	4
Ba3	BB-	BB-	BBL	4
B1	B+	B+	BH	5
B2	B	B	B	5
B3	B-	B-	BL	5
Caa1	CCC+	CCC+	CCCH	6
Caa2	CCC	CCC	CCC	6
Caa3	CCC-	CCC-	CCCL	6
Ca	CC	CC	CC	6
C	C	C	C	6
D	D	D	D	6

Short term ratings

Moody’s	S&P	Fitch	DBRS	CQS
P-1	A-1+	F1+	R-1 (high)	1
			R-1 (mid)	1
P-2	A-1	F1	R-1 (low)	2
P-3	A-2,A-3	F2,F3	R-2 (high)	3
			R-2 (mid)	3
			R-2 (low)	3
			R-3	3
NP	B,C,D		R-4,R-5,D	4