#########WOE 评分模型 在logistics regression算法在评分卡上的实践

以德国信用数据为例，用logistict regression算法做信用评分卡原理性实现，因此并未考虑feature selection.

第一步：导入必要的库

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import  pandas as pd import  numpy as np from  sklearn.cross_validation  import  train_test_split

第二步：导入数据

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german  =  pd.read_csv( 'D:/CreditDatasets/german.data' , sep = ' ' , header = None ) german.columns  =  [ 'Status_of_existing_checking_account' ,  'Duration_in_month' ,  'Credit_history' , 'Purpose' ,  'Credit_amount' ,  'Savings_account' ,  'Present_employment_since' , 'Installment_rate' ,  'Personal_status_and_sex' ,  'Other_debtors' ,  'Present_residence_since' , 'Property' ,  'Age' ,  'Other_installment_plans' ,  'Housing' ,  'Number_of_existing_credits' , 'Job' ,  'Number_of_people' ,  'Telephone' ,  'foreign_worker' ,  'default' ] Grp  =  german.groupby( 'default' ) total_good  =  Grp.size()[ 1 ] total_bad  =  Grp.size()[ 2 ]

第三步：分别计算名义变量和数值变量的woe值，对取值较少的数值变量也用名义变量woe计算方法实现，其余数值变量均5等分

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def  CalcWOE(VarName):      WOE_Map  =  pd.DataFrame()      Vars  =  np.unique(german[VarName])      for  v  in  Vars :          tmp  =  german[VarName]  = =  v          grp  =  german[tmp].groupby( 'default' )          Good  =  grp.size()[ 1 ]          Bad  =  grp.size()[ 2 ]          good_ratio  =  float (Good) / total_good          bad_ratio  =  float (Bad) / total_bad          WOE  =  np.log(bad_ratio / good_ratio)          IV  =  (bad_ratio  -  good_ratio) * WOE          result  =  pd.DataFrame([[VarName, v, WOE, IV]], index = None , columns = [ 'variable' ,  'class' ,  'woe' ,  'iv' ])          WOE_Map  =  WOE_Map.append(result, ignore_index = True )      return  WOE_Map   # nominal variable woe status_checking_account_woe  =  CalcWOE( 'Status_of_existing_checking_account' ) Credit_history_woe           =  CalcWOE( 'Credit_history' ) Purpose_woe                  =  CalcWOE( 'Purpose' ) Savings_account_woe          =  CalcWOE( 'Savings_account' ) Present_employment_since_woe =  CalcWOE( 'Present_employment_since' ) Personal_status_and_sex_woe  =  CalcWOE( 'Personal_status_and_sex' ) Other_debtors_woe            =  CalcWOE( 'Other_debtors' ) Property_woe                 =  CalcWOE( 'Property' ) Other_installment_plans_woe  =  CalcWOE( 'Other_installment_plans' ) Housing_woe                  =  CalcWOE( 'Housing' ) Job_woe                      =  CalcWOE( 'Job' ) Telephone_woe                =  CalcWOE( 'Telephone' ) foreign_worker_woe           =  CalcWOE( 'foreign_worker' )   # numeric variable woe, no binning Installment_rate_woe         =  CalcWOE( 'Installment_rate' ) Present_residence_since_woe  =  CalcWOE( 'Present_residence_since' ) Number_of_existing_credits_woe  =  CalcWOE( 'Number_of_existing_credits' ) Number_of_people_woe         =  CalcWOE( 'Number_of_people' )     def  CalcWOE_bin(VarName,N):      WOE_Map  =  pd.DataFrame()      max_value  =  max (german[VarName])      min_value  =  min (german[VarName])      bin  =  float (max_value  -  min_value) / N      for  i  in  range (N):          bin_U  =  min_value  +  (i + 1 ) * bin          bin_L  =  bin_U  -  bin          if  i  = =  1 :              tmp  =  (german[VarName] > =  bin_L) & (german[VarName] < =  bin_U)              grp  =  german[tmp].groupby( 'default' )          else :              tmp  =  (german[VarName] > bin_L) & (german[VarName] < =  bin_U)              grp  =  german[tmp].groupby( 'default' )          Good  =  grp.size()[ 1 ]          Bad  =  grp.size()[ 2 ]          good_ratio  =  float (Good) / total_good          bad_ratio  =  float (Bad) / total_bad          WOE  =  np.log(bad_ratio / good_ratio)          IV  =  (bad_ratio  -  good_ratio) * WOE          result  =  pd.DataFrame([[VarName, [bin_L, bin_U, WOE], WOE, IV]],                                index = None , columns = [ 'variable' ,  'class+woe' ,  'woe' ,  'iv' ])          WOE_Map  =  WOE_Map.append(result, ignore_index = True )      return  WOE_Map   Duration_in_month_woe  =  CalcWOE_bin( 'Duration_in_month' ,  5 ) Credit_amount_woe      =  CalcWOE_bin( 'Credit_amount' ,  5 ) Age_woe                =  CalcWOE_bin( 'Age' ,  5 )

第四步：用woe值替代原来的值

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def  ReplaceWOE(VarName, SourceDF, VarWOE):      dict1  =  dict .fromkeys(VarWOE[ 'class' ])      j  =  0      for  key  in  dict1:          dict1[key]  =  VarWOE[ 'woe' ][j]          j  =  j  +  1      SourceDF[VarName]  =  SourceDF[VarName]. map (dict1)      return  SourceDF   german_woe  =  german temp  =  ReplaceWOE( 'Status_of_existing_checking_account' , german_woe, status_checking_account_woe) temp1  =  ReplaceWOE( 'Credit_history' , temp, Credit_history_woe) temp  =  ReplaceWOE( 'Purpose' , temp1, Purpose_woe) temp1  =  ReplaceWOE( 'Savings_account' , temp, Savings_account_woe) temp  =  ReplaceWOE( 'Present_employment_since' , temp1, Present_employment_since_woe) temp1  =  ReplaceWOE( 'Personal_status_and_sex' , temp, Personal_status_and_sex_woe) temp  =  ReplaceWOE( 'Other_debtors' , temp1, Other_debtors_woe) temp1  =  ReplaceWOE( 'Property' , temp, Property_woe) temp  =  ReplaceWOE( 'Other_installment_plans' , temp1, Other_installment_plans_woe) temp1  =  ReplaceWOE( 'Housing' , temp, Housing_woe) temp  =  ReplaceWOE( 'Job' , temp1, Job_woe) temp1  =  ReplaceWOE( 'Telephone' , temp, Telephone_woe) temp  =  ReplaceWOE( 'foreign_worker' , temp1, foreign_worker_woe)   temp1  =  ReplaceWOE( 'Installment_rate' , temp, Installment_rate_woe) temp  =  ReplaceWOE( 'Present_residence_since' , temp1, Present_residence_since_woe) temp1  =  ReplaceWOE( 'Number_of_existing_credits' , temp, Number_of_existing_credits_woe) temp  =  ReplaceWOE( 'Number_of_people' , temp1, Number_of_people_woe)   def  ReplaceWOE_bin(VarName, SourceDF, VarWOE):      items  =  np.unique(SourceDF[VarName])      m  =  min (SourceDF[VarName])      dict2  =  {}      for  it  in  items:          if  it  = =  m:              dict2[it]  =  VarWOE[ 'class+woe' ][ 0 ][ 2 ]          else :              for  l, u, w  in  VarWOE[ 'class+woe' ]:                  if  (it > l) & (it < =  u):                      dict2[it]  =  w      SourceDF[VarName]  =  SourceDF[VarName]. map (dict2)      return  SourceDF   temp1  =  ReplaceWOE_bin( 'Duration_in_month' , temp, Duration_in_month_woe) temp  =  ReplaceWOE_bin( 'Credit_amount' , temp1, Credit_amount_woe) temp1  =  ReplaceWOE_bin( 'Age' , temp, Age_woe)

第五步：将数据集拆分为训练集和测试集

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X  =  temp1[ list (temp1.columns)[: - 1 ]] y  =  temp1[ 'default' ]  -  1 X_train, X_test, y_train, y_test  =  train_test_split(X, y, test_size = 0.1 , random_state = 0 )

第六步：在训练集上应用logistic regression算法

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from  sklearn.linear_model.logistic  import  LogisticRegression classifier  =  LogisticRegression() classifier.fit(X_train, y_train) predictions  =  classifier.predict(X_test)

第七步：评估模型分类精度

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from  sklearn.metrics  import  accuracy_score # print 'Accuracy:', accuracy_score(y_test, predictions)   from  sklearn.cross_validation  import  cross_val_score scores  =  cross_val_score(classifier, X_train, y_train, cv = 5 ) # print np.mean(scores), scores

第八步：创建评分卡

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# score = A - B*log(theta) # P0 = A - B*log(theta0), P0 + PDO = A - B*log(2*theta0) P0  =  600 PDO  =  20 theta0  =  1.0 / 60 B  =  PDO / np.log( 2 ) A  =  P0  +  B * np.log(theta0) coef  =  classifier.coef_ beta0  =  classifier.intercept_   status_checking_account_woe[ 'score' ]  =  (A  -  B * beta0) / 20  -  B * coef[ 0 ][ 0 ] * status_checking_account_woe[ 'woe' ] Duration_in_month_woe[ 'score' ]  =  (A  -  B * beta0) / 20  -  B * coef[ 0 ][ 1 ] * Duration_in_month_woe[ 'woe' ] Credit_history_woe[ 'score' ]  =  (A  -  B * beta0) / 20  -  B * coef[ 0 ][ 2 ] * Credit_history_woe[ 'woe' ] Purpose_woe[ 'score' ]  =  (A  -  B * beta0) / 20  -  B * coef[ 0 ][ 3 ] * Purpose_woe[ 'woe' ] Credit_amount_woe[ 'score' ]  =  (A  -  B * beta0) / 20  -  B * coef[ 0 ][ 4 ] * Credit_amount_woe[ 'woe' ] Savings_account_woe[ 'score' ]  =  (A  -  B * beta0) / 20  -  B * coef[ 0 ][ 5 ] * Savings_account_woe[ 'woe' ] Present_employment_since_woe[ 'score' ]  =  (A  -  B * beta0) / 20  -  B * coef[ 0 ][ 6 ] * Present_employment_since_woe[ 'woe' ] Installment_rate_woe[ 'score' ]  =  (A  -  B * beta0) / 20  -  B * coef[ 0 ][ 7 ] * Installment_rate_woe[ 'woe' ] Personal_status_and_sex_woe[ 'score' ]  =  (A  -  B * beta0) / 20  -  B * coef[ 0 ][ 8 ] * Personal_status_and_sex_woe[ 'woe' ] Other_debtors_woe[ 'score' ]  =  (A  -  B * beta0) / 20  -  B * coef[ 0 ][ 9 ] * Other_debtors_woe[ 'woe' ] Present_residence_since_woe[ 'score' ]  =  (A  -  B * beta0) / 20  -  B * coef[ 0 ][ 10 ] * Present_residence_since_woe[ 'woe' ] Property_woe[ 'score' ]  =  (A  -  B * beta0) / 20  -  B * coef[ 0 ][ 11 ] * Property_woe[ 'woe' ] Age_woe[ 'score' ]  =  (A  -  B * beta0) / 20  -  B * coef[ 0 ][ 12 ] * Age_woe[ 'woe' ] Other_installment_plans_woe[ 'score' ]  =  (A  -  B * beta0) / 20  -  B * coef[ 0 ][ 13 ] * Other_installment_plans_woe[ 'woe' ] Housing_woe[ 'score' ]  =  (A  -  B * beta0) / 20  -  B * coef[ 0 ][ 14 ] * Housing_woe[ 'woe' ] Number_of_existing_credits_woe[ 'score' ]  =  (A  -  B * beta0) / 20  -  B * coef[ 0 ][ 15 ] * Number_of_existing_credits_woe[ 'woe' ] Job_woe[ 'score' ]  =  (A  -  B * beta0) / 20  -  B * coef[ 0 ][ 16 ] * Job_woe[ 'woe' ] Number_of_people_woe[ 'score' ]  =  (A  -  B * beta0) / 20  -  B * coef[ 0 ][ 17 ] * Number_of_people_woe[ 'woe' ] Telephone_woe[ 'score' ]  =  (A  -  B * beta0) / 20  -  B * coef[ 0 ][ 18 ] * Telephone_woe[ 'woe' ] foreign_worker_woe[ 'score' ]  =  (A  -  B * beta0) / 20  -  B * coef[ 0 ][ 19 ] * foreign_worker_woe[ 'woe' ]