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laurabu 发表于 2019-9-24 14:50:01

基于决策树的违约率(PD)分池模型的建立方法

一般在银行零售内评系统中,构建PD分池模型通常采用决策树模型,或者加上K-means算法来测算。那么正常决策树模型在PD分池构建过程中的流程是什么样的,K-means的算法是如何使用的?

花无缺 发表于 2019-9-25 10:02:02

首先要看你们是不是已经有申请,行为,催收模型,如果有了的话,就是高层细分,再加上决策树驱动出来的基于申请或行为评分的分池。
如果你们没有申请评分卡等模型,直接分池也是可以的。这时候变量较多,可能需要聚类,然后找到合适数量变量 再用决策树驱动。
所有的前提均是债项对应违约标识标识好,否则没法建模。
我抛砖引玉,请大神指正

laurabu 发表于 2019-9-26 08:49:32

花无缺 发表于 2019-9-25 10:02
首先要看你们是不是已经有申请,行为,催收模型,如果有了的话,就是高层细分,再加上决策树驱动出来的基于 ...

目前已经有申请、行为、催收评分卡模型,能够为PD分池提供数据。同时,基于监管的要求,违约的标签也已经完成,对观察点违约和违约的客户能进行区分。目前是对进入决策树的数据,如何进行分池,池子间的异质性和池内的同质性,不清楚如何确定?大神,有指教的吗?

花无缺 发表于 2019-9-26 16:34:30

laurabu 发表于 2019-9-26 08:49
目前已经有申请、行为、催收评分卡模型,能够为PD分池提供数据。同时,基于监管的要求,违约的标签也已经 ...

那其实就简单了。
1.按照账龄、产品、逾期进行高层细分;
2.按照CHAID决策树方法进行细分;
3.对细分结果进行验证(准确性、PSI、异质性、同质性、集中度等)。

laurabu 发表于 2019-9-26 20:46:50

花无缺 发表于 2019-9-26 16:34
那其实就简单了。
1.按照账龄、产品、逾期进行高层细分;
2.按照CHAID决策树方法进行细分;


这个流程是清晰的~目前问题有两个:
1. 基于K_Means聚类的方法不是很确定;
2. 分池的异质性和同质性检测不清楚如何判定。

花无缺 发表于 2019-10-4 10:22:30

laurabu 发表于 2019-9-26 20:46
这个流程是清晰的~目前问题有两个:
1. 基于K_Means聚类的方法不是很确定;
2. 分池的异质性和同质性检测 ...

聚类的方法不确定?具体哪方面?
同质性和异质性检验一般通过分布检验来实现,如果95%(可根据需要选择)的置信度下分布不重合,则认为通过异质性检验

laurabu 发表于 2020-1-6 22:00:43

花无缺 发表于 2019-10-4 10:22
聚类的方法不确定?具体哪方面?
同质性和异质性检验一般通过分布检验来实现,如果95%(可根据需要选择) ...

聚类的方法主要是不清楚如何来分池,分出来的结果没有什么业务解释能力。
另外,由于是基于python语言开发分池模型,所以用的是CART算法,与基于SAS开发的CHAID算法不太一样,导致在剪枝方面不清楚可以用什么参数进行调整。

关于同质性和异质性检验,一般会用相邻区间交叠检验方法来验证,也就是您说的95%置信区间的方法;另外还有一个方法是基于Willicoxon秩和检验的方法,这个方法就不清楚如何应用?{:3_53:}

花无缺 发表于 2020-1-21 15:41:08

laurabu 发表于 2020-1-6 22:00
聚类的方法主要是不清楚如何来分池,分出来的结果没有什么业务解释能力。
另外,由于是基于python语言开 ...

好久没上了。聚类是当变量很多时候降维用,其实分池更多还是要看业务解释含义,不能完全数据驱动。我们是用SAS,PYTHON不会:loveliness:

HamlarSwony 发表于 2020-2-5 13:55:29

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