基于Logistic的贷款违约预测模型

运用逻辑回归进行违约的预测，在构建模型的过程中用到了向前法筛选模型自变量

import numpy as np
import pandas as pd
import matplotlib as mpl
import matplotlib.pyplot as plt
import os
import re
import datetime
import time
from sklearn.model_selection import train_test_split

# 导入数据
os.chdir('data')
loanfile = os.listdir()
creatVar = locals()

for i in loanfile:
    if i.endswith("txt"):
        creatVar[i.split('.')[0]] = pd.read_csv(i, encoding='gbk',sep=';')
        #print(i.split('.')[0])

# 生成被解释变量bad_good
bad_good = {'B':1, 'D':1, 'A':0, 'C':2}
loan['bad_good'] = loan.status.map(bad_good)
#print(loan.head())

# 通过表的连接获取借款人的年龄、性别信息
data2 = pd.merge(loan, disp, on = 'account_id', how='left')
data2 = pd.merge(data2, client, on='client_id', how='left')
data2 = data2[data2.type=='OWNER']

#获取借款人居住地的经济状况
data3 = pd.merge(data2, district, left_on='district_id',
                 right_on='A1', how='left')

#计算变异系数
data_4temp1 = pd.merge(loan[['account_id', 'date']],
                       trans[['account_id', 'type', 'amount', 'balance', 'date']],
                       on = 'account_id')
data_4temp1.columns = ['account_id', 'date', 'type', 'amount', 'balance', 't_date']
data_4temp1 = data_4temp1.sort_values(by = ['account_id', 't_date'])

#日期格式转换
data_4temp1['date'] = data_4temp1['date'] + 19000000
data_4temp1['date'] = pd.to_datetime(data_4temp1['date'].values.astype('str'))

data_4temp1['t_date'] = data_4temp1['t_date'] + 19000000
data_4temp1['t_date'] = pd.to_datetime(data_4temp1['t_date'].values.astype('str'))
#print(data_4temp1.head())

data_4temp2 = data_4temp1[(data_4temp1.date > data_4temp1.t_date) &
                          (data_4temp1.date < data_4temp1.t_date + datetime.timedelta(days=365))]

#得到变异系数
data_4temp3 = data_4temp2.groupby('account_id')['balance'].aggregate(avg_balance=np.mean,std_balance=np.std)
data_4temp3['cv_balance'] = data_4temp3[['avg_balance', 'std_balance']].apply(lambda x: x[1]/x[0], axis=1)

#平均支出和收入的比例
type_dict = {'PRIJEM':'out', "VYDAJ":'income'}
data_4temp2['type1'] = data_4temp2.type.map(type_dict)

data_4temp5 = data_4temp2.pivot_table('amount',  index='account_id', columns='type1')
data_4temp5.dropna(inplace=True)
data_4temp5['r_out_in'] = data_4temp5['out'] / data_4temp5['income']

data4 = pd.merge(data3, data_4temp3, left_on='account_id', right_index=True, how='left')
data4 = pd.merge(data4, data_4temp5, left_on='account_id', right_index=True, how='left')

#计算贷存比和贷收比
data4['r_lb'] = data4['amount'] / data4['avg_balance']
data4['r_lincome'] = data4['amount'] / data4['income']

#构建Logistic模型
data_model = data4[data4.status!='C']
for_predict = data4[data4.status=='C']

train, test = train_test_split(data_model, test_size=0.3, random_state=42)

#print("训练集样本量：{0} \n测试集样本量：{1}".format(len(train), len(test)))

#向前法筛选有用字段
def forward_select(data, response):
    import statsmodels.api as sm
    import statsmodels.formula.api as smf
    remaining = set(data.columns)    #字段名
    remaining.remove(response)
    selected = []
    current_score, best_new_score = float('inf'), float('inf')
    while remaining:
        aic_with_candidates=[]
        for candidate in remaining:
            formula = "{} ~ {}".format(
                response,' + '.join(selected + [candidate]))
            aic = smf.glm(formula=formula, data=data).fit().aic
            aic_with_candidates.append((aic, candidate))
        aic_with_candidates.sort(reverse=True)
        best_new_score, best_candidate=aic_with_candidates.pop()
        if current_score > best_new_score:
            remaining.remove(best_candidate)
            selected.append(best_candidate)
            current_score = best_new_score
            #print('aic is {},continuing!'.format(current_score))
        else:
            #print('forward selection over!')
            break

    formula = "{} ~ {}".format(response,' + '.join(selected))
    print("final formula is {}".format(formula))
    model = smf.glm(formula = formula, data=data
                    ).fit()
    return (model)

candidates = ['bad_good', 'A1', 'A3', 'A4', 'A10', 'A11', 'A12','amount', 'duration',
             'A13', 'A14', 'A15', 'A16', 'avg_balance', 'std_balance',
             'cv_balance', 'income', 'out', 'r_out_in', 'r_lb', 'r_lincome']
data_for_select = train[candidates]
lg_model = forward_select(data=data_for_select, response='bad_good')
#print(lg_model.summary().tables[1])

#模型验证
from sklearn.metrics import roc_curve, auc
import matplotlib.pyplot as plt
fpr, tpr, threshold = roc_curve(test.bad_good, lg_model.predict(test))
rocauc = auc(fpr, tpr)
plt.plot(fpr, tpr, 'b', label='AUC={}'.format(rocauc))
plt.legend(loc='lower right')
plt.plot([0,1],[0,1],'r--')
plt.title('ROC curve')
plt.xlabel('False position rate')
plt.ylabel('True position rate')
#plt.show()

# 运用模型进行预测
for_predict['prob'] = lg_model.predict(for_predict)
print(for_predict['prob'].describe())

通过ROC曲线评估模型的拟合能力