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基于python的信用卡评分模型(German Credit德国信用数据集)

运维开发网 https://www.qedev.com 2020-12-10 09:01 出处:51CTO 作者:wx5fadfd21e0805
基于python的信用卡评分模型(German Credit德国信用数据集)

基于python的信用卡评分模型(German Credit德国信用数据集)

时值蚂蚁上市之际,马云在上海滩发表演讲。马云的核心逻辑其实只有一个,在全球数字经济时代,有且只有一种金融优势,那就是基于消费者大数据的纯信用!

我们不妨称之为数据信用,它比抵押更靠谱,它比担保更保险,它比监管更高明,它是一种面向未来的财产权,它是数字货币背后核心的抵押资产,它决定了数字货币时代信用创造的方向、速度和规模。一句话,谁掌握了数据信用,谁就控制了数字货币的发行权!

数据信用判断依靠的就是金融风控模型。更准确的说谁能掌握风控模型知识,谁就掌握了数字货币的发行权!

欢迎各位同学学习python信用评分卡建模视频系列教程(附代码, 博主录制) :

https://edu.51cto.com/sd/edde1

基于python的信用卡评分模型(German Credit德国信用数据集)

作者介绍

Toby,持牌照消费金融公司模型专家,发明金融模型算法专利,和中科院,清华大学,百度,腾讯,爱奇艺,同盾,聚信立,友盟等平台保持长期项目合作;与国内多所财经大学有模型项目。熟悉消费金融场景业务,包括现金贷,商品贷,医美,反欺诈汽车金融等等。擅长Python机器学习建模,对变量筛选,衍生变量构造,变量缺失率高,正负样本不平衡,共线性高,多算法比较,调参等有良好解决方法。

课程简介

A级优质课程,360度讲解python信用评分卡构建流程,附代码直接使用,支持老师答疑。算法采用逻辑回归。弥补了网络上讲解不全,信息参差不齐的短板。此课程目的是建立模型,自动化审批客户资质,让银行,消费金融,小额贷贷款风险最小化并将利润最大化。该课程采用数据集为German credit数据。

实用人群

银行,消费金融,小额贷,现金贷等线上贷款场景的风控建模相关工作人员,贷前审批模型人员或想今后从事模型岗位工作人员;大学生fintech建模竞赛,论文,专利。

学习计划和方法

1.每天保证1-2个小时学习时间,预计14-30天可以学习完整门课程。

2.每节课的代码实操要保证,建议不要直接复制粘贴代码,自己实操一遍代码对大脑记忆很重要,有利于巩固知识。

3.第二次学习时要总结上一节课内容,必要时做好笔记,加深大脑理解。

4.不懂问题要罗列出来,先自己上网查询,查不到的可以咨询老师。

课程目录

章节1前言

章节1Python环境搭建

课时1 建评分卡模型,python,R,SAS谁最好?

课时2 Anaconda快速入门指南

课时3 Anaconda下载和安装

课时4 canopy下载和安装

课时5 Anaconda Navigato导航器

课时6 python安装第三方包:pip和conda install

课时7 Python非官方扩展包下载地址

课时8 Anaconda安装不同版本python

课时9 jupyter1_为什么使用jupyter notebook?

课时10 jupyter2_jupyter基本文本编辑操作

课时11 如何用jupyter notebook打开指定文件夹内容?

课时12 jupyter4_jupyter转换PPT实操

课时13 jupyter notebook用matplotlib不显示图片解决方案

章节2 python编程基础知识

课时14 Python文件基本操作

课时15 变量_表达式_运算符_值

课时16 字符串string

课时17 列表list

课时18 程序的基本构架(条件,循环)

课时19 数据类型_函数_面向对象编程

课时20 python2和3的区别

课时21 编程技巧和学习方法

章节3 python机器学习基础

课时22 UCI机器学习常用数据库介绍

课时23 机器学习书籍推荐

课时24 如何选择算法

课时25 机器学习语法速查表

课时26 python数据科学常用的库

课时27 python数据科学入门介绍(选修)

章节4 GermanCredit信用评分数据下载和介绍

课时28 GermanCredit信用评分数据下载和介绍

章节5信用评分卡开发流程(上)

课时29 评分卡开发流程概述

课时30 第一步:数据收集

课时31 第二步:数据准备

课时32 变量可视化分析

课时33 样本量需要多少?

课时34 坏客户定义

课时35 第三步:变量筛选

课时36 变量重要性评估_iv和信息增益混合方法

课时37 衍生变量05:01

课时38 第四步:变量分箱01:38

章节6信用评分卡开发流程(下)

课时39 第五步:建立逻辑回归模型

课时40 odds赔率

课时41 woe计算

课时42 变量系数

课时43 A和B计算

课时44 Excel手动计算坏客户概率

课时45 Python脚本计算坏客户概率

课时46 客户评分

课时47 评分卡诞生-变量分数计算

课时48 拒绝演绎reject inference

课时49 第六步:模型验证

课时50 第七步:模型部署

课时51 常见模型部署问题

章节7 Python信用评分卡-逻辑回归脚本

课时52 Python信用评分卡脚本运行演示

课时53 描述性统计脚本_缺失率和共线性分析

课时54 woe脚本(kmean分箱)

课时55 iv计算独家脚本

课时56 Excel手动推导变量woe和iv值

课时57 评分卡脚本1(sklearn)

课时58 评分卡脚本2(statsmodel)

课时59 生成评分卡脚本

课时60 模型验证脚本

章节8PSI(population stability index)稳定指标

课时61 拿破仑远征欧洲失败/华尔街股灾真凶-PSI模型稳定指标揭秘

课时62 excel推导PSI的计算公式

课时63 PSI计算公式原理_独家秘密

课时64 PSI的python脚本讲解

章节9难点1_坏客户定义

课时65 坏客户定义错误,全盘皆输

课时66 不同场景坏客户定义不一样,坏客户定义具有反复性

课时67 坏客户占比不能太低

课时68 vintage源于葡萄酒酿造

课时69 vintage用于授信策略优化

章节10难点2_woe分箱

课时70 ln对数函数

课时71 excel手动计算woe值

课时72 python计算woe脚本

课时73 Iv计算推导

课时74 woe正负符号意义

课时75 WOE计算就这么简单?你想多了

课时76 Kmean算法原理

课时77 python kmean实现粗分箱脚本

课时78 自动化比较变量不同分箱的iv值

课时79 woe分箱第三方包脚本

章节11难点3_逻辑回归是最佳算法吗?

课时80 逻辑回归是最优算法吗?No

课时81 xgboost_支持脚本下载

课时82 随机森林randomForest_支持脚本下载

课时83 支持向量SVM_支持脚本下载

课时84 神经网络neural network_支持脚本下载

课时85 多算法比较重要性_模型竞赛,百万奖金任你拿

章节12难点4_变量缺失数据处理

课时86 imputer-缺失数据处理

课时87 xgboost简单处理缺失数据

课时88 catboost处理缺失数据最简单

章节13难点5.模型验证

课时89 模型需要验证码?

课时90 商业银行资本管理办法(试行)

课时91 模型验证_信用风险内部评级体系监管要求

课时92 模型验证主要指标概述

课时93 交叉验证cross validation

课时94 groupby分类统计函数

课时95 KS_模型区分能力指标

课时96 混淆矩阵(accuracy,precision,recall,f1 score)

新增课时 模型排序能力-lift提升图

章节14难点6.逻辑回归调参

课时97 菜鸟也能轻松调参

课时98 调参1_Penalty正则化选择参数

课时99 调参2_classWeight类别权重

课时100 调参3_solver优化算法选择参数

课时101 调参4_n_jobs

课时102 L-BFGS算法演化历史

课时103 次要参数一览

章节16 风控管理和诈骗中介(选修)

课时104 网络信贷发展史

课时105 诈骗中介

课时106 风控管理

课时107 告别套路贷,高利贷,选择正确贷款方式

章节17 2018-2019消费金融市场行情

课时108 揭秘:近年消费金融火爆发展根本原因

课时109 持牌照消费金融公司盈利排行榜

课时110 消费金融,风控技术是瓶颈

课时111 谁能笑到最后:2018-2019消费金融公司注册资本

课时112 萝卜加大棒:中央政策监管趋势独家预测

课时113 信用是金融交易的基石_P2P倒闭潮秘密

章节18 2018-2019年全球宏观经济

课时114 专家不会告诉你的秘密:美元和黄金真实关系

课时115 宏观经济主要指标:债务率和失业率

课时116 2019年中国宏观经济分析_赠人民银行发布2018n年中国金融稳定报告

课时117 2019年发达国家宏观经济信息汇总_供下载

课时118 全球系统金融风险

课时119 基尼系数_贫富差异指标

课时120 GDP_利率_通货膨胀

课时121 失业率_债务率

课时122 贸易差额_中美贸易战根本原因

课时123 信用评级_阿根廷金融危机独家解读

课程目的

Minimization of risk and maximization of profit on behalf of the bank.

To minimize loss from the bank’s perspective, the bank needs a decision rule regarding who to give approval of the loan and who not to. An applicant’s demographic and socio-economic profiles are considered by loan managers before a decision is taken regarding his/her loan application.

The German Credit Data contains data on 20 variables and the classification whether an applicant is considered a Good or a Bad credit risk for 1000 loan applicants. Here is a link to the German Credit data (right-click and "save as" ). A predictive model developed on this data is expected to provide a bank manager guidance for making a decision whether to approve a loan to a prospective applicant based on his/her profiles.

将银行风险最小化并将利润最大化

为了从银行的角度将损失降到最低,银行需要制定决策规则,确定谁批准贷款,谁不批准。 在决定贷款申请之前,贷款经理会考虑申请人的人口统计和社会经济概况。

GermanCredit信贷数据包含有关20个变量的数据,以及1000个贷款申请者被认为是好信用风险还是坏信用风险的分类。 这是指向Germancredit信用数据的链接(右键单击并另存为)。 预期基于此数据开发的预测模型将为银行经理提供指导,以根据他/她的个人资料来决定是否批准准申请人的贷款。

信用逾期时代的信用评分卡

随着我国居民消费心理发生改变和各大商家诱导性消费,不少朋友越来越依赖超前消费了。我国14亿人口,消费群体庞大,各类产品也有着很大的市场,于是现在的消费信贷市场成了很多银行或者其他机构发力的方向。根据央行公布的数据来看,商业银行发行的信用卡数量继续扩张,但在“滥发”信用卡的背后,逾期坏账不断增加也成了银行头疼问题。

信用卡逾期半年以上坏账突破900亿

近日,央行公布了三季度支付体系的运行报告,从央行公布的数据来看,我国商业银行发行的信用卡数量、授信总额以及坏账总额均在保持增长。

数据显示,截至今年三季度末,我国商业银行发行的信用卡(包括借贷合一卡)的数量达到了7.66亿张,环比增加1.29%。总授信额度达到了18.59万亿元,环比增加3.80%。

下卡量在增加,加上授信总额在不断增长,说明银行依旧非常重视信用卡市场,但同时这也给银行带来了不小的麻烦。因为截至今年三季度末,信用卡逾期半年以上的坏账来到了906.63亿元,环比大涨6.13%。

信用卡下卡数量不断增加,说明在初审阶段银行并没有管理的太严格,因此坏账增加是客观会存在的问题。但作为专业的金融机构,银行显然是不会坐视坏账继续涨下去,不然就会影响到银行的正常经营,也会引起监管层的注意。

所以在这种情况下面,商业银行会对已经下卡的客户进行管理,一般是在消费场景以及防范套现上面下功夫。所以为了你不被银行二次风控,从而对你的信用卡封卡降额,一些不合规的刷卡消费最好还是别碰。

银行风控负责人改如何应对持续上升信用卡坏账?作者认为识别坏客户(骗贷和还款能力不足人群)是关键。只有银行精准识别了坏客户,才能显著降低逾期和坏账率。

基于python的信用卡评分模型(German Credit德国信用数据集)

之前银行是当铺思想,把钱借给有偿还能力的人。这些人群算是优质客群。更糟糕的是但随着量化宽松,财政货币刺激,M2激增,银行,消费金融公司,小额贷公司纷纷把市场目标扩大到次级客户,即偿还能力不足或没有工作的人,这些人还钱风险很高,因此借钱利息也很高。

国内黑产,灰产已经形成庞大产业链条。根据之前同盾公司统计,黑产团队至少上千个,多大为3人左右小团队,100人以上大团队也有几十上百个。这些黑产团队天天测试各大现金贷平台漏洞,可谓专业产品经理。下图是生产虚假号码的手机卡,来自东南亚,国内可用,可最大程度规避国内安全监控,专门为线上平台现金贷诈骗用户准备。如果没有风控能力,就不要玩现金贷这行了。放款犹如肉包子打狗有去无回。

基于python的信用卡评分模型(German Credit德国信用数据集)

举个身边熟悉例子,作者在之前某宝关键词搜索中,可以发现黑产和灰产身影。

关键词:

注册机,短信服务,短信接收,短信验证,app下单,智能终端代接m

基于python的信用卡评分模型(German Credit德国信用数据集)

基于python的信用卡评分模型(German Credit德国信用数据集)

基于python的信用卡评分模型(German Credit德国信用数据集)

黑产市场风起云涌,银行风控负责人改如何应对持续上升信用卡坏账?作者认为识别坏客户(骗贷和还款能力不足人群)是关键。只有银行精准识别了坏客户,才能显著降低逾期和坏账率。如何精准识别坏客户,改课程会手把手教你大家Python信用评分卡模型,精准捕捉坏客户,此乃风控守护神。

信用评分卡可以成为贷款人和借款人计算借款人偿债能力的绝佳工具。对于贷方而言,评分卡可以帮助他们评估借款人的风险,识别是否是骗贷用户或还款能力不足用户,并帮公司维持健康的投资组合 - 这最终将影响整个经济。

模型就像一个黑箱,当用户申请贷款时,模型会根据用户信息,例如年龄,工作,职位,还款记录,借贷次数等维度自动计算客户坏客户概率。业务线如果用模型计算出某用户坏客户概率较高,例如0.8,就会拒绝改客户贷款申请。

因此风控模型就像信贷守护神,保护公司资产,免受黑产吞噬。

基于python的信用卡评分模型(German Credit德国信用数据集)

信用评分数据下载地址

http://archive.ics.uci.edu/ml/datasets/Statlog+(German+Credit+Data)

基于python的信用卡评分模型(German Credit德国信用数据集)

account balance 账户余额

duration of credit持卡时长

基于python的信用卡评分模型(German Credit德国信用数据集)

数据信息Data Set Information:

Two datasets are provided. the original dataset, in the form provided by Prof. Hofmann, contains categorical/symbolic attributes and is in the file "german.data".

For algorithms that need numerical attributes, Strathclyde University produced the file "german.data-numeric". This file has been edited and several indicator variables added to make it suitable for algorithms which cannot cope with categorical variables. Several attributes that are ordered categorical (such as attribute 17) have been coded as integer. This was the form used by StatLog.

This dataset requires use of a cost matrix (see below)

提供了两个数据集。 原始数据集以Hofmann教授提供的形式包含类别/符号属性,并且位于文件“ german.data”中。

对于需要数字属性的算法,斯特拉斯克莱德大学产生了文件“ german.data-numeric”。 该文件已经过编辑,并添加了一些指标变量,以使其适用于无法处理分类变量的算法。 几个按类别排序的属性(例如属性17)已编码为整数。 这是StatLog使用的形式。

该数据集需要使用成本矩阵(请参见下文)

..... 1 2


1 0 1


2 5 0

(1 = Good, 2 = Bad)

The rows represent the actual classification and the columns the predicted classification.

It is worse to class a customer as good when they are bad (5), than it is to class a customer as bad when they are good (1).

Attribute Information:

Attribute 1: (qualitative)

Status of existing checking account

A11 : ... < 0 DM

A12 : 0 <= ... < 200 DM

A13 : ... >= 200 DM / salary assignments for at least 1 year

A14 : no checking account

Attribute 2: (numerical)

Duration in month

Attribute 3: (qualitative)

Credit history

A30 : no credits taken/ all credits paid back duly

A31 : all credits at this bank paid back duly

A32 : existing credits paid back duly till now

A33 : delay in paying off in the past

A34 : critical account/ other credits existing (not at this bank)

Attribute 4: (qualitative)

Purpose

A40 : car (new)

A41 : car (used)

A42 : furniture/equipment

A43 : radio/television

A44 : domestic appliances

A45 : repairs

A46 : education

A47 : (vacation - does not exist?)

A48 : retraining

A49 : business

A410 : others

Attribute 5: (numerical)

Credit amount

Attibute 6: (qualitative)

Savings account/bonds

A61 : ... < 100 DM

A62 : 100 <= ... < 500 DM

A63 : 500 <= ... < 1000 DM

A64 : .. >= 1000 DM

A65 : unknown/ no savings account

Attribute 7: (qualitative)

Present employment since

A71 : unemployed

A72 : ... < 1 year

A73 : 1 <= ... < 4 years

A74 : 4 <= ... < 7 years

A75 : .. >= 7 years

Attribute 8: (numerical)

Installment rate in percentage of disposable income

Attribute 9: (qualitative)

Personal status and sex

A91 : male : divorced/separated

A92 : female : divorced/separated/married

A93 : male : single

A94 : male : married/widowed

A95 : female : single

Attribute 10: (qualitative)

Other debtors / guarantors

A101 : none

A102 : co-applicant

A103 : guarantor

Attribute 11: (numerical)

Present residence since

Attribute 12: (qualitative)

Property

A121 : real estate

A122 : if not A121 : building society savings agreement/ life insurance

A123 : if not A121/A122 : car or other, not in attribute 6

A124 : unknown / no property

Attribute 13: (numerical)

Age in years

Attribute 14: (qualitative)

Other installment plans

A141 : bank

A142 : stores

A143 : none

Attribute 15: (qualitative)

Housing

A151 : rent

A152 : own

A153 : for free

Attribute 16: (numerical)

Number of existing credits at this bank

Attribute 17: (qualitative)

Job

A171 : unemployed/ unskilled - non-resident

A172 : unskilled - resident

A173 : skilled employee / official

A174 : management/ self-employed/

highly qualified employee/ officer

Attribute 18: (numerical)

Number of people being liable to provide maintenance for

Attribute 19: (qualitative)

Telephone

A191 : none

A192 : yes, registered under the customers name

Attribute 20: (qualitative)

foreign worker

A201 : yes

A202 : no

It is worse to class a customer as good when they are bad (5),

than it is to class a customer as bad when they are good (1).

欢迎各位同学学习更多金融模型相关课程:

python金融风控评分卡模型和数据分析微专业课

https://edu.51cto.com/sd/f2e9b

基于python的信用卡评分模型(German Credit德国信用数据集)

模型变量重要性排序结果

基于python的信用卡评分模型(German Credit德国信用数据集)

python建模脚本

随机森林算法

randomForest.py

random forest with 1000 trees:

accuracy on the training subset:1.000

accuracy on the test subset:0.772

准确性高于决策树

import pandas as pd
import numpy as np
import matplotlib.pyplot as plt
from sklearn.ensemble import RandomForestClassifier
from sklearn.model_selection import train_test_split

trees=1000
#读取文件
readFileName="German_credit.xlsx"
#读取excel
df=pd.read_excel(readFileName)
list_columns=list(df.columns[:-1])
X=df.ix[:,:-1]
y=df.ix[:,-1]
names=X.columns
x_train,x_test,y_train,y_test=train_test_split(X,y,random_state=0)
#n_estimators表示树的个数,测试中100颗树足够
forest=RandomForestClassifier(n_estimators=trees,random_state=0)
forest.fit(x_train,y_train)
print("random forest with %d trees:"%trees) 
print("accuracy on the training subset:{:.3f}".format(forest.score(x_train,y_train)))
print("accuracy on the test subset:{:.3f}".format(forest.score(x_test,y_test)))
print('Feature importances:{}'.format(forest.feature_importances_))
n_features=X.shape[1]
plt.barh(range(n_features),forest.feature_importances_,align='center')
plt.yticks(np.arange(n_features),names)
plt.title("random forest with %d trees:"%trees)
plt.xlabel('Feature Importance')
plt.ylabel('Feature')
plt.show()

基于python的信用卡评分模型(German Credit德国信用数据集)

比较之前

基于python的信用卡评分模型(German Credit德国信用数据集)

决策树可视化

基于python的信用卡评分模型(German Credit德国信用数据集)

准确率不高,且严重过度拟合

accuracy on the training subset:0.991

accuracy on the test subset:0.680

import pandas as pd
import numpy as np
import matplotlib.pyplot as plt
from sklearn.ensemble import RandomForestClassifier
import matplotlib.pyplot as plt
import numpy as np
import pydotplus
from IPython.display import Image
import graphviz
from sklearn.tree import export_graphviz
from sklearn.datasets import load_breast_cancer
from sklearn.tree import DecisionTreeClassifier
from sklearn.model_selection import train_test_split

trees=1000
#读取文件
readFileName="German_credit.xlsx"
#读取excel
df=pd.read_excel(readFileName)
list_columns=list(df.columns[:-1])
x=df.ix[:,:-1]
y=df.ix[:,-1]
names=x.columns
x_train,x_test,y_train,y_test=train_test_split(x,y,random_state=0)
#调参
list_average_accuracy=[]
depth=range(1,30)
for i in depth:
    #max_depth=4限制决策树深度可以降低算法复杂度,获取更精确值
    tree= DecisionTreeClassifier(max_depth=i,random_state=0)
    tree.fit(x_train,y_train)
    accuracy_training=tree.score(x_train,y_train)
    accuracy_test=tree.score(x_test,y_test)
    average_accuracy=(accuracy_training+accuracy_test)/2.0
    #print("average_accuracy:",average_accuracy)
    list_average_accuracy.append(average_accuracy)

max_value=max(list_average_accuracy)
#索引是0开头,结果要加1
best_depth=list_average_accuracy.index(max_value)+1
print("best_depth:",best_depth)
best_tree= DecisionTreeClassifier(max_depth=best_depth,random_state=0)
best_tree.fit(x_train,y_train)
accuracy_training=best_tree.score(x_train,y_train)
accuracy_test=best_tree.score(x_test,y_test)
print("decision tree:")   
print("accuracy on the training subset:{:.3f}".format(best_tree.score(x_train,y_train)))
print("accuracy on the test subset:{:.3f}".format(best_tree.score(x_test,y_test)))

n_features=x.shape[1]
plt.barh(range(n_features),best_tree.feature_importances_,align='center')
plt.yticks(np.arange(n_features),names)
plt.title("Decision Tree:")
plt.xlabel('Feature Importance')
plt.ylabel('Feature')
plt.show()

#生成一个dot文件,以后用cmd形式生成图片
export_graphviz(best_tree,out_file="creditTree.dot",class_names=['bad','good'],feature_names=names,impurity=False,filled=True)
'''
best_depth: 12
decision tree:
accuracy on the training subset:0.991
accuracy on the test subset:0.680
'''

支持向量最高预测率

#标准化数据
from sklearn import preprocessing
from sklearn.svm import SVC
from sklearn.model_selection import train_test_split
import matplotlib.pyplot as plt
import pandas as pd

#读取文件
readFileName="German_credit.xlsx"
#读取excel
df=pd.read_excel(readFileName)
list_columns=list(df.columns[:-1])
x=df.ix[:,:-1]
y=df.ix[:,-1]
names=x.columns
#random_state 相当于随机数种子
X_train,x_test,y_train,y_test=train_test_split(x,y,stratify=y,random_state=42)
svm=SVC()
svm.fit(X_train,y_train)
print("accuracy on the training subset:{:.3f}".format(svm.score(X_train,y_train)))
print("accuracy on the test subset:{:.3f}".format(svm.score(x_test,y_test)))
'''
accuracy on the training subset:1.000
accuracy on the test subset:0.700

'''
#观察数据是否标准化
plt.plot(X_train.min(axis=0),'o',label='Min')
plt.plot(X_train.max(axis=0),'v',label='Max')
plt.xlabel('Feature Index')
plt.ylabel('Feature magnitude in log scale')
plt.yscale('log')
plt.legend(loc='upper right')

#标准化数据
X_train_scaled = preprocessing.scale(X_train)
x_test_scaled = preprocessing.scale(x_test)
svm1=SVC()
svm1.fit(X_train_scaled,y_train)
print("accuracy on the scaled training subset:{:.3f}".format(svm1.score(X_train_scaled,y_train)))
print("accuracy on the scaled test subset:{:.3f}".format(svm1.score(x_test_scaled,y_test)))
'''
accuracy on the scaled training subset:0.867
accuracy on the scaled test subset:0.800
'''
#改变C参数,调优,kernel表示核函数,用于平面转换,probability表示是否需要计算概率
svm2=SVC(C=10,gamma="auto",kernel='rbf',probability=True)
svm2.fit(X_train_scaled,y_train)
print("after c parameter=10,accuracy on the scaled training subset:{:.3f}".format(svm2.score(X_train_scaled,y_train)))
print("after c parameter=10,accuracy on the scaled test subset:{:.3f}".format(svm2.score(x_test_scaled,y_test)))
'''
after c parameter=10,accuracy on the scaled training subset:0.972
after c parameter=10,accuracy on the scaled test subset:0.716
'''
#计算样本点到分割超平面的函数距离
#print (svm2.decision_function(X_train_scaled))
#print (svm2.decision_function(X_train_scaled)[:20]>0)
#支持向量机分类
#print(svm2.classes_)
#malignant和bening概率计算,输出结果包括恶性概率和良性概率
#print(svm2.predict_proba(x_test_scaled))
#判断数据属于哪一类,0或1表示
#print(svm2.predict(x_test_scaled))

神经网络

效果不如支持向量和随机森林

最好概率

accuracy on the training subset:0.916

accuracy on the test subset:0.720

基于python的信用卡评分模型(German Credit德国信用数据集)

from sklearn.neural_network import MLPClassifier
#标准化数据,否则神经网络结果不准确,和SVM类似
from sklearn.preprocessing import StandardScaler
from sklearn.model_selection import train_test_split
import mglearn
import matplotlib.pyplot as plt
import numpy as np
import pandas as pd

#读取文件
readFileName="German_credit.xlsx"

#读取excel
df=pd.read_excel(readFileName)
list_columns=list(df.columns[:-1])
x=df.ix[:,:-1]
y=df.ix[:,-1]
names=x.columns

#random_state 相当于随机数种子
x_train,x_test,y_train,y_test=train_test_split(x,y,stratify=y,random_state=42)
mlp=MLPClassifier(random_state=42)
mlp.fit(x_train,y_train)
print("neural network:")   
print("accuracy on the training subset:{:.3f}".format(mlp.score(x_train,y_train)))
print("accuracy on the test subset:{:.3f}".format(mlp.score(x_test,y_test)))

scaler=StandardScaler()
x_train_scaled=scaler.fit(x_train).transform(x_train)
x_test_scaled=scaler.fit(x_test).transform(x_test)

mlp_scaled=MLPClassifier(max_iter=1000,random_state=42)
mlp_scaled.fit(x_train_scaled,y_train)
print("neural network after scaled:")   
print("accuracy on the training subset:{:.3f}".format(mlp_scaled.score(x_train_scaled,y_train)))
print("accuracy on the test subset:{:.3f}".format(mlp_scaled.score(x_test_scaled,y_test)))

mlp_scaled2=MLPClassifier(max_iter=1000,alpha=1,random_state=42)
mlp_scaled2.fit(x_train_scaled,y_train)
print("neural network after scaled and alpha change to 1:")   
print("accuracy on the training subset:{:.3f}".format(mlp_scaled2.score(x_train_scaled,y_train)))
print("accuracy on the test subset:{:.3f}".format(mlp_scaled2.score(x_test_scaled,y_test)))

#绘制颜色图,热图
plt.figure(figsize=(20,5))
plt.imshow(mlp_scaled.coefs_[0],interpolation="None",cmap="GnBu")
plt.yticks(range(30),names)
plt.xlabel("columns in weight matrix")
plt.ylabel("input feature")
plt.colorbar()

'''
neural network:
accuracy on the training subset:0.700
accuracy on the test subset:0.700
neural network after scaled:
accuracy on the training subset:1.000
accuracy on the test subset:0.704
neural network after scaled and alpha change to 1:
accuracy on the training subset:0.916
accuracy on the test subset:0.720

xgboost

区分能力还可以

AUC: 0.8134

ACC: 0.7720

Recall: 0.9521

F1-score: 0.8480

Precesion: 0.7644

import xgboost as xgb
from sklearn.cross_validation import train_test_split
import pandas as pd
import matplotlib.pylab as plt

#读取文件
readFileName="German_credit.xlsx"

#读取excel
df=pd.read_excel(readFileName)
list_columns=list(df.columns[:-1])
x=df.ix[:,:-1]
y=df.ix[:,-1]
names=x.columns

train_x, test_x, train_y, test_y=train_test_split(x,y,random_state=0)

dtrain=xgb.DMatrix(train_x,label=train_y)
dtest=xgb.DMatrix(test_x)

params={'booster':'gbtree',
    #'objective': 'reg:linear',
    'objective': 'binary:logistic',
    'eval_metric': 'auc',
    'max_depth':4,
    'lambda':10,
    'subsample':0.75,
    'colsample_bytree':0.75,
    'min_child_weight':2,
    'eta': 0.025,
    'seed':0,
    'nthread':8,
     'silent':1}

watchlist = [(dtrain,'train')]

bst=xgb.train(params,dtrain,num_boost_round=100,evals=watchlist)

ypred=bst.predict(dtest)

# 设置阈值, 输出一些评价指标
y_pred = (ypred >= 0.5)*1

#模型校验
from sklearn import metrics
print ('AUC: %.4f' % metrics.roc_auc_score(test_y,ypred))
print ('ACC: %.4f' % metrics.accuracy_score(test_y,y_pred))
print ('Recall: %.4f' % metrics.recall_score(test_y,y_pred))
print ('F1-score: %.4f' %metrics.f1_score(test_y,y_pred))
print ('Precesion: %.4f' %metrics.precision_score(test_y,y_pred))
metrics.confusion_matrix(test_y,y_pred)

print("xgboost:") 
#print("accuracy on the training subset:{:.3f}".format(bst.get_score(train_x,train_y)))
#print("accuracy on the test subset:{:.3f}".format(bst.get_score(test_x,test_y)))
print('Feature importances:{}'.format(bst.get_fscore()))

'''
AUC: 0.8135
ACC: 0.7640
Recall: 0.9641
F1-score: 0.8451
Precesion: 0.7523

#特征重要性和随机森林差不多
Feature importances:{'Account Balance': 80, 'Duration of Credit (month)': 119,
 'Most valuable available asset': 54, 'Payment Status of Previous Credit': 84,
 'Value Savings/Stocks': 66, 'Age (years)': 94, 'Credit Amount': 149,
 'Type of apartment': 20, 'Instalment per cent': 37,
 'Length of current employment': 70, 'Sex & Marital Status': 29,
 'Purpose': 67, 'Occupation': 13, 'Duration in Current address': 25,
 'Telephone': 15, 'Concurrent Credits': 23, 'No of Credits at this Bank': 7,
 'Guarantors': 28, 'No of dependents': 6}
'''

 最终结论:

xgboost 有时候特征重要性分析比随机森林还准确,可见其强大之处

随机森林重要因子排序    xgboost权重指数
Credit amount信用保证金  149
age 年龄                            94
account balance 账户余额 80
duration of credit持卡时间 119 (信用卡逾期时间,每个银行有所不同,以招商银行为例,两个月就会被停卡)

2018-9-18数据更新

逻辑回归验证数据和catboost验证数据差不多,可见逻辑回归稳定性

model accuracy is: 0.755

model precision is: 0.697841726618705

model sensitivity is: 0.3233333333333333

f1_score: 0.44191343963553525

AUC: 0.7626619047619048

根据iv值删除后预测结果没有变量完全保留的高

model accuracy is: 0.724

model precision is: 0.61320754717

model sensitivity is: 0.216666666667

f1_score: 0.320197044335

AUC: 0.7031

good classifier

带入German_credit原始数据结果

accuracy on the training subset:0.777

accuracy on the test subset:0.740

A: 6.7807190511263755

B: 14.426950408889635

model accuracy is: 0.74

model precision is: 0.7037037037037037

model sensitivity is: 0.38

f1_score: 0.49350649350649356

AUC: 0.7885

"""

import math

import matplotlib.pyplot as plt

import pandas as pd

import numpy as np

from sklearn.cross_validation import train_test_split

from sklearn.linear_model.logistic import LogisticRegression

from sklearn.metrics import accuracy_score

from sklearn.cross_validation import cross_val_score

import statsmodels.api as sm

#混淆矩阵计算

from sklearn import metrics

from sklearn.metrics import roc_curve, auc,roc_auc_score

from sklearn.metrics import precision_score

from sklearn.metrics import accuracy_score

from sklearn.metrics import recall_score

from sklearn.metrics import f1_score

#df_german=pd.read_excel("german_woe.xlsx")

df_german=pd.read_excel("german_credit.xlsx")

#df_german=pd.read_excel("df_after_vif.xlsx")

y=df_german["target"]

x=df_german.ix[:,"Account Balance":"Foreign Worker"]

#x=df_german.ix[:,"Credit Amount":"Purpose"]

X_train, X_test, y_train, y_test = train_test_split(x, y, test_size=0.3, random_state=0)

classifier = LogisticRegression()

classifier.fit(X_train, y_train)

predictions = classifier.predict(X_test)

#验证

print("accuracy on the training subset:{:.3f}".format(classifier.score(X_train,y_train)))

print("accuracy on the test subset:{:.3f}".format(classifier.score(X_test,y_test)))

#得分公式

'''

P0 = 50

PDO = 10

theta0 = 1.0/20

B = PDO/np.log(2)

A = P0 + Bnp.log(theta0)

'''

def Score(probability):

#底数是e

score = A-Bnp.log(probability/(1-probability))

return score

#批量获取得分

def List_score(pos_probablity_list):

list_score=[]

for probability in pos_probablity_list:

score=Score(probability)

list_score.append(score)

return list_score

P0 = 50

PDO = 10

theta0 = 1.0/20

B = PDO/np.log(2)

A = P0 + B*np.log(theta0)

print("A:",A)

print("B:",B)

listcoef = list(classifier.coef[0])

intercept= classifier.intercept_

#获取所有x数据的预测概率,包括好客户和坏客户,0为好客户,1为坏客户

probablity_list=classifier.predict_proba(x)

#获取所有x数据的坏客户预测概率

pos_probablity_list=[i[1] for i in probablity_list]

#获取所有客户分数

list_score=List_score(pos_probablity_list)

list_predict=classifier.predict(x)

df_result=pd.DataFrame({"label":y,"predict":list_predict,"pos_probablity":pos_probablity_list,"score":list_score})

df_result.to_excel("score_proba.xlsx")

#变量名列表

list_vNames=df_german.columns

#去掉第一个变量名target

list_vNames=list_vNames[1:]

df_coef=pd.DataFrame({"variable_names":list_vNames,"coef":list_coef})

df_coef.to_excel("coef.xlsx")

y_true=y_test

y_pred=classifier.predict(X_test)

accuracyScore = accuracy_score(y_true, y_pred)

print('model accuracy is:',accuracyScore)

#precision,TP/(TP+FP) (真阳性)/(真阳性+假阳性)

precision=precision_score(y_true, y_pred)

print('model precision is:',precision)

#recall(sensitive)敏感度,(TP)/(TP+FN)

sensitivity=recall_score(y_true, y_pred)

print('model sensitivity is:',sensitivity)

#F1 = 2 x (精确率 x 召回率) / (精确率 + 召回率)

#F1 分数会同时考虑精确率和召回率,以便计算新的分数。可将 F1 分数理解为精确率和召回率的加权平均值,其中 F1 分数的最佳值为 1、最差值为 0:

f1Score=f1_score(y_true, y_pred)

print("f1_score:",f1Score)

def AUC(y_true, y_scores):

auc_value=0

#auc第二种方法是通过fpr,tpr,通过auc(fpr,tpr)来计算AUC

fpr, tpr, thresholds = metrics.roc_curve(y_true, y_scores, pos_label=1)

auc_value= auc(fpr,tpr) ###计算auc的值

#print("fpr:",fpr)

#print("tpr:",tpr)

#print("thresholds:",thresholds)

if auc_value<0.5:

auc_value=1-auc_value

return auc_value

def Draw_roc(auc_value):

fpr, tpr, thresholds = metrics.roc_curve(y, list_score, pos_label=0)

#画对角线

plt.plot([0, 1], [0, 1], '--', color=(0.6, 0.6, 0.6), label='Diagonal line')

plt.plot(fpr,tpr,label='ROC curve (area = %0.2f)' % auc_value)

plt.title('ROC curve')

plt.legend(loc="lower right")

#评价AUC表现

def AUC_performance(AUC):

if AUC >=0.7:

print("good classifier")

if 0.7>AUC>0.6:

print("not very good classifier")

if 0.6>=AUC>0.5:

print("useless classifier")

if 0.5>=AUC:

print("bad classifier,with sorting problems")

#Auc验证,数据采用测试集数据

auc_value=AUC(y, list_score)

print("AUC:",auc_value)

#评价AUC表现

AUC_performance(auc_value)

#绘制ROC曲线

Draw_roc(auc_value)


**catboost脚本**

catboost-

accuracy on the training subset:1.000

accuracy on the test subset:0.763

test数据指标

accuracy on the test subset:0.757

model accuracy is: 0.7566666666666667

model precision is: 0.813953488372093

model sensitivity is: 0.35

f1_score: 0.48951048951048953

AUC: 0.7595999999999999

"""

import catboost as cb

import math

import matplotlib.pyplot as plt

import pandas as pd

import numpy as np

from sklearn.cross_validation import train_test_split

from sklearn.linear_model.logistic import LogisticRegression

from sklearn.metrics import accuracy_score

from sklearn.cross_validation import cross_val_score

import statsmodels.api as sm

#混淆矩阵计算

from sklearn import metrics

from sklearn.metrics import roc_curve, auc,roc_auc_score

from sklearn.metrics import precision_score

from sklearn.metrics import accuracy_score

from sklearn.metrics import recall_score

from sklearn.metrics import f1_score

#df_german=pd.read_excel("german_woe.xlsx")

df_german=pd.read_excel("german_credit.xlsx")

#df_german=pd.read_excel("df_after_vif.xlsx")

y=df_german["target"]

x=df_german.ix[:,"Account Balance":"Foreign Worker"]

#x=df_german.ix[:,"Credit Amount":"Purpose"]

X_train, X_test, y_train, y_test = train_test_split(x, y, test_size=0.3, random_state=0)

classifier = cb.CatBoostClassifier()

classifier.fit(X_train, y_train)

list_score=classifier.predict_proba(X_test)

list_score=[i[1] for i in list_score]

#验证

print("accuracy on the training subset:{:.3f}".format(classifier.score(X_train,y_train)))

print("accuracy on the test subset:{:.3f}".format(classifier.score(X_test,y_test)))

list_predict=classifier.predict(x)

y_true=y_test

y_pred=classifier.predict(X_test)

accuracyScore = accuracy_score(y_true, y_pred)

print('model accuracy is:',accuracyScore)

#precision,TP/(TP+FP) (真阳性)/(真阳性+假阳性)

precision=precision_score(y_true, y_pred)

print('model precision is:',precision)

#recall(sensitive)敏感度,(TP)/(TP+FN)

sensitivity=recall_score(y_true, y_pred)

print('model sensitivity is:',sensitivity)

#F1 = 2 x (精确率 x 召回率) / (精确率 + 召回率)

#F1 分数会同时考虑精确率和召回率,以便计算新的分数。可将 F1 分数理解为精确率和召回率的加权平均值,其中 F1 分数的最佳值为 1、最差值为 0:

f1Score=f1_score(y_true, y_pred)

print("f1_score:",f1Score)

def AUC(y_true, y_scores):

auc_value=0

#auc第二种方法是通过fpr,tpr,通过auc(fpr,tpr)来计算AUC

fpr, tpr, thresholds = metrics.roc_curve(y_true, y_scores, pos_label=1)

auc_value= auc(fpr,tpr) ###计算auc的值

#print("fpr:",fpr)

#print("tpr:",tpr)

#print("thresholds:",thresholds)

if auc_value<0.5:

auc_value=1-auc_value

return auc_value

#Auc验证,数据采用测试集数据

auc_value=AUC(y_test, list_score)

print("AUC:",auc_value)

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