general solution for aggregating buildout/phaseout split to loan book

[jacobvjk]

follows up #30

The aggregation by buildout/phaseout requires approximating an exposure split by technologies.
This is currently done based on production values, not based on company scenario values.
production values can be 0 for the entire sector of a company in t5, when at least one technology had a value > 0 in t0.
In such a situation, it is impossible to calculate a technology split in t5, as all technologies are 0 and therefore any split is divided by 0 which is NaN.
Having companies with this profile then leads to NAs in the aggregation to the loan book level, because the exposure is used as a weight in the weighted mean of the alignment metric. NA weights lead to an NA mean.

We currently see two ways to resolve this. The best one depends on the perspective of the analysis.

Risk:
If a company ceases its activity in a sector during the forecast period, we assume that the loan is then used for other company activities in t5 and no risk for the loan emanates from this sector anymore. We therefore drop this sector for the company and distribute the exposure among the remaining sectors. If no other sectors are matched, the company is considered out-of-scope for the analysis from a risk angle

Alignment/Contribution:
A company that ceases its activities in t5 still exhibits a deviation from targets that were calculated based on its production values in t0. From the perspective of whether or not the company contributes enough to the transition, it should not matter if there is any risk emanating from the activity. What matters is if (and how strongly) the contribution is aligned with scenario targets.
Completely moving out of a sector can be very aligned, if the technology is supposed to be phased out. It can be very misaligned, if the technology was supposed to be built out. Both should be captured from this perspective.
To avoid the pitfalls of dividing by 0 production, we consider approximating the technology split based on the prescribed production values from the scenario at the company level. This can never be 0, if the company has positive values in t0 and it captures the expected exposure for a company that follows the scenario paths.

AB#10139

[jacobvjk]

fyi @daisy-pacheco