tobit回归模型matlab,Compare Tobit LGD Model to Benchmark Model

Load Data

Load the LGD data.

load LGDData.mat

disp(head(data))

LTV Age Type LGD

_______ _______ ___________ _________

0.89101 0.39716 residential 0.032659

0.70176 2.0939 residential 0.43564

0.72078 2.7948 residential 0.0064766

0.37013 1.237 residential 0.007947

0.36492 2.5818 residential 0

0.796 1.5957 residential 0.14572

0.60203 1.1599 residential 0.025688

0.92005 0.50253 investment 0.063182

Split the data into training and test sets.

NumObs = height(data);

rng('default'); % For reproducibility

c = cvpartition(NumObs,'HoldOut',0.4);

TrainingInd = training(c);

TestInd = test(c);

Fit Tobit Model

Fit a Tobit LGD model with training data. By default, the last column of the data is used as a response variable and all other columns are used as predictor variables.

lgdModel = fitLGDModel(data(TrainingInd,:),'tobit');

disp(lgdModel)

Tobit with properties:

CensoringSide: "both"

LeftLimit: 0

RightLimit: 1

ModelID: "Tobit"

Description: ""

UnderlyingModel: [1x1 risk.internal.credit.TobitModel]

PredictorVars: ["LTV" "Age" "Type"]

ResponseVar: "LGD"

disp(lgdModel.UnderlyingModel)

Tobit regression model:

LGD = max(0,min(Y*,1))

Y* ~ 1 + LTV + Age + Type

Estimated coefficients:

Estimate SE tStat pValue

_________ _________ _______ __________

(Intercept) 0.058257 0.027265 2.1367 0.032737

LTV 0.20126 0.031354 6.4189 1.6932e-10

Age -0.095407 0.0072653 -13.132 0

Type_investment 0.10208 0.018058 5.6531 1.7915e-08

(Sigma) 0.29288 0.0057036 51.35 0

Number of observations: 2093

Number of left-censored observations: 547

Number of uncensored observations: 1521

Number of right-censored observations: 25

Log-likelihood: -698.383

You can now use this model for prediction or validation. For example, use predict to predict LGD on test data and visualize the predictions with a histogram.

lgdPredTobit = predict(lgdModel,data(TestInd,:));

histogram(lgdPredTobit)

title('Predicted LGD, Tobit Model')

xlabel('Predicted LGD')

ylabel('Frequency')

Create Benchmark Model

In this example, the benchmark model is a lookup table model that segments the data into groups and assigns the mean LGD of the group to all group members. In practice, this common benchmarking approach is easy to understand and use.

The groups in this example are defined using the three predictors. LTV is discretized into low and high levels. Age is discretized into young and old loans. Type already has two levels, namely, residential and investment. The groups are all the combinations of these values (for example, low LTV, young loan, residential, and so on). The number of levels and the specific cutoff points are only for illustration purposes. The benchmark model uses the same predictors as the Tobit model in this example, but you can use other variables to define the groups. In fact, the benchmark model could be a black-box model as long as the predicted LGD values are available for the same customers as in this data set.

% Add the discretized variables as new colums in the table.

% Discretize the LTV.

LTVEdges = [0 0.5 max(data.LTV)];

data.LTVDiscretized = discretize(data.LTV,LTVEdges,'Categorical',{'low','high'});

% Discretize the Age.

AgeEdges = [0 2 max(data.Age)];

data.AgeDiscretized = discretize(data.Age,AgeEdges,'Categorical',{'young','old'});

% Type is already a categorical variable with two levels.

Finding the group means on the training data is effectively the fitting of the model. Note that the group counts are small for some groups. Adding many groups comes with reduced group counts for some groups and more unstable estimates.

% Find the group means on training data.

gs = groupsummary(data(TrainingInd,:),{'LTVDiscretized','AgeDiscretized','Type'},'mean','LGD');

disp(gs)

LTVDiscretized AgeDiscretized Type GroupCount mean_LGD

______________ ______________ ___________ __________ ________

low young residential 163 0.12166

low young investment 26 0.087331

low old residential 175 0.021776

low old investment 23 0.16379

high young residential 1134 0.16489

high young investment 257 0.25977

high old residential 265 0.066068

high old investment 50 0.11779

To predict an LGD for a new observation, you need to find its group and then assign the group mean as the predicted LGD. Use the findgroups function, which takes the discretized variables as input. For a completely new data point, the LTV and Age information needs to be discretized first by using the discretize function before you use the findgroups function.

LGDGroup = findgroups(data(TestInd,{'LTVDiscretized' 'AgeDiscretized' 'Type'}));

lgdPredMeansTest = gs.mean_LGD(LGDGroup);

There are eight unique values in the predictions, as expected, one for each group.

disp(unique(lgdPredMeansTest))

0.0218

0.0661

0.0873

0.1178

0.1217

0.1638

0.1649

0.2598

The histogram of the predictions also shows the discrete nature of the model.

histogram(lgdPredMeansTest)

title('Predicted LGD, Tobit Model')

xlabel('Predicted LGD')

ylabel('Frequency')

To have all the predictions available for both training and test sets to make comparisons, add a column with LGD predictions for the entire data set.

LGDGroup = findgroups(data(:,{'LTVDiscretized' 'AgeDiscretized' 'Type'}));

data.lgdPredMeans = gs.mean_LGD(LGDGroup);

Compare Performance

Compare the performance of the Tobit model and the benchmark model using the validation functions in the Tobit model.

Start with the area under the receiver operating characteristic (ROC) curve, or AUROC metric, using modelDiscrimination.

DataSetChoice = "Testing";

if DataSetChoice=="Training"

Ind = TrainingInd;

else

Ind = TestInd;

end

DiscMeasure = modelDiscrimination(lgdModel,data(Ind,:),'ReferenceLGD',data.lgdPredMeans(Ind),'ReferenceID','Group Means')

DiscMeasure=2×1 table

AUROC

_______

Tobit 0.67986

Group Means 0.61251

Use modelDiscriminationPlot to visualize the ROC curve.

modelDiscriminationPlot(lgdModel,data(Ind,:),'ReferenceLGD',data.lgdPredMeans(Ind),'ReferenceID','Group Means')

Use modelAccuracy to compute the accuracy metrics.

AccMeasure = modelAccuracy(lgdModel,data(Ind,:),'ReferenceLGD',data.lgdPredMeans(Ind),'ReferenceID','Group Means')

AccMeasure=2×4 table

RSquared RMSE Correlation SampleMeanError

________ _______ ___________ _______________

Tobit 0.08527 0.23712 0.29201 -0.034412

Group Means 0.041622 0.2406 0.20401 -0.0078124

Use modelAccuracyPlot to visualize the scatter plot of the observed LGD values against predicted LGD values.

modelAccuracyPlot(lgdModel,data(Ind,:),'ReferenceLGD',data.lgdPredMeans(Ind),'ReferenceID','Group Means')

Then you can use modelAccuracyPlot to visualize the scatter plot of the predicted LGD values against the LTV values.

modelAccuracyPlot(lgdModel,data(Ind,:),'ReferenceLGD',data.lgdPredMeans(Ind),'ReferenceID','Group Means','XData','LTV','YData','predicted')