ROC-kurvan

Kreditriskmodellering i R

Lore Dirick

Manager of Data Science Curriculum at Flatiron School

Hittills

Strategitabell/kurva: bygger fortfarande på antaganden
Vad är den "övergripande" bästa modellen?

Förväxlingsmatris

$$

Faktisk lånestatus vs. modellens prediktion

	Ingen fallissemang (0)	Fallissemang (1)
Ingen fallissemang (0)	TN	FP
Fallissemang (1)	FN	TP

$$

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

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

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

Accuracy?

$$

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

$$

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

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

ROC-kurvan

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

$$

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

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

ROC-kurvan

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

$$

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

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

ROC-kurvan

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

$$

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

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

ROC-kurvan

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

$$

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

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

ROC-kurvan

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

$$

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

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

ROC-kurvan

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

$$

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

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

Vilken är bäst?

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

AUC ROC-kurva A = 0.75
AUC ROC-kurva B = 0.78

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Kreditriskmodellering i R

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