A curva ROC

Modelagem de Risco de Crédito em R

Lore Dirick

Manager of Data Science Curriculum at Flatiron School

Até agora

Tabela/curva de estratégia: ainda pressupõe algo
Qual é o melhor modelo "no geral"?

Matriz de confusão

$$

Status real do empréstimo vs. previsão do modelo

	Sem inadimplência (0)	Inadimplência (1)
Sem inadimplência (0)	TN	FP
Inadimplência (1)	FN	TP

$$

$\text{Accuracy} = \frac{TP +TN}{TP + FP + TN + FN}$

$\text{Sensitivity} = \frac{TP}{TP + FN}$

$\text{Specificity} = \frac{TN}{TN + FP}$

Acurácia?

$$

Screen Shot 2020-06-22 at 6.21.14 PM.png

$$

$\text{Sensitivity} = \frac{TP}{TP + FN}$

$\text{Specificity} = \frac{TN}{TN + FP}$

A curva ROC

Screen Shot 2020-06-22 at 6.21.58 PM.png

$$

$\text{Sensitivity} = \frac{TP}{TP + FN}$

$\text{Specificity} = \frac{TN}{TN + FP}$

A curva ROC

Screen Shot 2020-06-22 at 6.22.11 PM.png

$$

$\text{Sensitivity} = \frac{TP}{TP + FN}$

$\text{Specificity} = \frac{TN}{TN + FP}$

A curva ROC

Screen Shot 2020-06-22 at 6.22.22 PM.png

$$

$\text{Sensitivity} = \frac{TP}{TP + FN}$

$\text{Specificity} = \frac{TN}{TN + FP}$

A curva ROC

Screen Shot 2020-06-22 at 6.22.35 PM.png

$$

$\text{Sensitivity} = \frac{TP}{TP + FN}$

$\text{Specificity} = \frac{TN}{TN + FP}$

A curva ROC

Screen Shot 2020-06-22 at 6.22.45 PM.png

$$

$\text{Sensitivity} = \frac{TP}{TP + FN}$

$\text{Specificity} = \frac{TN}{TN + FP}$

A curva ROC

Screen Shot 2020-06-22 at 6.22.54 PM.png

$$

$\text{Sensitivity} = \frac{TP}{TP + FN}$

$\text{Specificity} = \frac{TN}{TN + FP}$

Qual é melhor?

Screen Shot 2020-06-22 at 6.23.06 PM.png

AUC da curva ROC A = 0.75
AUC da curva ROC B = 0.78

Vamos praticar!

Modelagem de Risco de Crédito em R

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