資料切分與混淆矩陣

R 的信用風險建模

Lore Dirick

Manager of Data Science Curriculum at Flatiron School

開始分析

Screen Shot 2020-06-15 at 8.43.54 AM.png

R 的信用風險建模

訓練集與測試集

Screen Shot 2020-06-15 at 8.43.43 AM.png

R 的信用風險建模

訓練集與測試集

Screen Shot 2020-06-15 at 8.43.14 AM.png

R 的信用風險建模

交叉驗證

Screen Shot 2020-06-15 at 8.43.31 AM.png

R 的信用風險建模

評估模型

      test_set$loan_status    model_prediction   
            ...                     ...
 [8066,]      1                       1
 [8067,]      0                       0
 [8068,]      0                       0
 [8069,]      0                       0
 [8070,]      0                       0
 [8071,]      0                       1
 [8072,]      1                       0
 [8073,]      1                       1
 [8074,]      0                       0
 [8075,]      0                       0
 [8076,]      0                       0
 [8077,]      1                       1
 [8078,]      0                       0
        ...                        ...
R 的信用風險建模

評估模型

      test_set$loan_status    model_prediction   
            ...                     ...
[8066,]       1                       1
[8067,]       0                       0
 [8068,]      0                       0
 [8069,]      0                       0
 [8070,]      0                       0
 [8071,]      0                       1
 [8072,]      1                       0
 [8073,]      1                       1
 [8074,]      0                       0
 [8075,]      0                       0
 [8076,]      0                       0
 [8077,]      1                       1
 [8078,]      0                       0
 [8079,]      0                       1
        ...                        ...

實際貸款狀態 v. 模型預測

未違約 (0) 違約 (1)
未違約 (0) 8 2
違約 (1) 1 3
R 的信用風險建模

評估模型

      test_set$loan_status    model_prediction   
            ...                     ...
[8066,]       1                       1
[8067,]       0                       0
 [8068,]      0                       0
 [8069,]      0                       0
 [8070,]      0                       0
 [8071,]      0                       1
 [8072,]      1                       0
 [8073,]      1                       1
 [8074,]      0                       0
 [8075,]      0                       0
 [8076,]      0                       0
 [8077,]      1                       1
 [8078,]      0                       0
 [8079,]      0                       1
        ...                        ...

實際貸款狀態 v. 模型預測

未違約 (0) 違約 (1)
未違約 (0) TN FP
違約 (1) FN TP
R 的信用風險建模

常用指標…

  • Accuracy $$\frac{(8+3)}{14} = 78.57\%$$

  • Sensitivity $$\frac{3}{(1+3)} = 75\%$$

  • Specificity $$\frac{8}{(8+2)} = 80\%$$

實際貸款狀態 v. 模型預測

未違約 (0) 違約 (1)
未違約 (0) 8 2
違約 (1) 1 3
R 的信用風險建模

一起來練習吧！

R 的信用風險建模

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