一个信用评分案例看机器学习建模基本过程
machine learning for credit scoring
练习0数据预处理
Banks play a crucial role in market economies. They decide who can get finance and on what terms and can make or break investment decisions. For markets and society to function, individuals and companies need access to credit.
Credit scoring algorithms, which make a guess at the probability of default, are the method banks use to determine whether or not a loan should be granted. This competition requires participants to improve on the state of the art in credit scoring, by predicting the probability that somebody will experience financial distress in the next two years. Dataset
Attribute Information:
Variable Name | Description | Type |
---|---|---|
SeriousDlqin2yrs | Person experienced 90 days past due delinquency or worse | Y/N |
RevolvingUtilizationOfUnsecuredLines | Total balance on credit divided by the sum of credit limits | percentage |
age | Age of borrower in years | integer |
NumberOfTime30-59DaysPastDueNotWorse | Number of times borrower has been 30-59 days past due | integer |
DebtRatio | Monthly debt payments | percentage |
MonthlyIncome | Monthly income | real |
NumberOfOpenCreditLinesAndLoans | Number of Open loans | integer |
NumberOfTimes90DaysLate | Number of times borrower has been 90 days or more past due. | integer |
NumberRealEstateLoansOrLines | Number of mortgage and real estate loans | integer |
NumberOfTime60-89DaysPastDueNotWorse | Number of times borrower has been 60-89 days past due | integer |
NumberOfDependents | Number of dependents in family | integer |
Read the data into Pandas 将数据读进pandas
import pandas as pd
pd.set_option('display.max_columns', 500)
import zipfile
with zipfile.ZipFile('KaggleCredit2.csv.zip', 'r') as z:
f = z.open('KaggleCredit2.csv')
data = pd.read_csv(f, index_col=0)
data.head()
SeriousDlqin2yrs | RevolvingUtilizationOfUnsecuredLines | age | NumberOfTime30-59DaysPastDueNotWorse | DebtRatio | MonthlyIncome | NumberOfOpenCreditLinesAndLoans | NumberOfTimes90DaysLate | NumberRealEstateLoansOrLines | NumberOfTime60-89DaysPastDueNotWorse | NumberOfDependents | |
---|---|---|---|---|---|---|---|---|---|---|---|
0 | 1 | 0.766127 | 45.0 | 2.0 | 0.802982 | 9120.0 | 13.0 | 0.0 | 6.0 | 0.0 | 2.0 |
1 | 0 | 0.957151 | 40.0 | 0.0 | 0.121876 | 2600.0 | 4.0 | 0.0 | 0.0 | 0.0 | 1.0 |
2 | 0 | 0.658180 | 38.0 | 1.0 | 0.085113 | 3042.0 | 2.0 | 1.0 | 0.0 | 0.0 | 0.0 |
3 | 0 | 0.233810 | 30.0 | 0.0 | 0.036050 | 3300.0 | 5.0 | 0.0 | 0.0 | 0.0 | 0.0 |
4 | 0 | 0.907239 | 49.0 | 1.0 | 0.024926 | 63588.0 | 7.0 | 0.0 | 1.0 | 0.0 | 0.0 |
data.shape
(112915, 11)
去除异常值 Drop na
data.isnull().sum(axis=0)
SeriousDlqin2yrs 0
RevolvingUtilizationOfUnsecuredLines 0
age 4267
NumberOfTime30-59DaysPastDueNotWorse 0
DebtRatio 0
MonthlyIncome 0
NumberOfOpenCreditLinesAndLoans 0
NumberOfTimes90DaysLate 0
NumberRealEstateLoansOrLines 0
NumberOfTime60-89DaysPastDueNotWorse 0
NumberOfDependents 4267
dtype: int64
data.dropna(inplace=True)
data.shape
(108648, 11)
创建X 和 y Create X and y
y = data['SeriousDlqin2yrs']
X = data.drop('SeriousDlqin2yrs', axis=1)
y.mean()
0.06742876076872101
import seaborn as sns
import matplotlib.pyplot as plt
%matplotlib inline
sns.countplot(x='SeriousDlqin2yrs',data=data)
<matplotlib.axes._subplots.AxesSubplot at 0x24081eb9828>
#从样本中可以看出:label为1的样本偏少,可见样本失衡
练习1:数据集准备
把数据切分成训练集和测试集
切分数据集
# Added version check for recent scikit-learn 0.18 checks
from distutils.version import LooseVersion as Version
from sklearn import __version__ as sklearn_version
if Version(sklearn_version) < '0.18':
from sklearn.cross_validation import train_test_split
else:
from sklearn.model_selection import train_test_split
X_train, X_test, y_train, y_test = train_test_split(
X, y, test_size=0.3, random_state=0)
对连续值特征做幅度缩放
from sklearn.preprocessing import StandardScaler
stdsc=StandardScaler()
X_train_std=stdsc.fit_transform(X_train)
X_test_std=stdsc.transform(X_test)
练习2使用不同模型分类
使用logistic regression/决策树/SVM/KNN…等sklearn分类算法进行分类,尝试查sklearn API了解模型参数含义,调整不同的参数。
logistic regression
from sklearn.linear_model import LogisticRegression
lr = LogisticRegression(penalty='l1',C=1000.0, random_state=0)
lr.fit(X_train_std, y_train)
lr
LogisticRegression(C=1000.0, class_weight=None, dual=False,
fit_intercept=True, intercept_scaling=1, max_iter=100,
multi_class='ovr', n_jobs=1, penalty='l1', random_state=0,
solver='liblinear', tol=0.0001, verbose=0, warm_start=False)