This package is python version of R package scorecard. Its goal is to make the development of traditional credit risk scorecard model easier and efficient by providing functions for some common tasks.
- data partition (
split_df
) - variable selection (
iv
,var_filter
) - weight of evidence (woe) binning (
woebin
,woebin_plot
,woebin_adj
,woebin_ply
) - scorecard scaling (
scorecard
,scorecard_ply
) - performance evaluation (
perf_eva
,perf_psi
)
- Install the release version of
scorecardpy
from PYPI with:
pip install scorecardpy
- Install the latest version of
scorecardpy
from github with:
pip install git+git://github.com/shichenxie/scorecardpy.git
This is a basic example which shows you how to develop a common credit risk scorecard:
# Traditional Credit Scoring Using Logistic Regression
import scorecardpy as sc
# data prepare ------
# load germancredit data
dat = sc.germancredit()
# filter variable via missing rate, iv, identical value rate
dt_s = sc.var_filter(dat, y="creditability")
# breaking dt into train and test
train, test = sc.split_df(dt_s, 'creditability').values()
# woe binning ------
bins = sc.woebin(dt_s, y="creditability")
# sc.woebin_plot(bins)
# binning adjustment
# # adjust breaks interactively
# breaks_adj = sc.woebin_adj(dt_s, "creditability", bins)
# # or specify breaks manually
breaks_adj = {
'age.in.years': [26, 35, 40],
'other.debtors.or.guarantors': ["none", "co-applicant%,%guarantor"]
}
bins_adj = sc.woebin(dt_s, y="creditability", breaks_list=breaks_adj)
# converting train and test into woe values
train_woe = sc.woebin_ply(train, bins_adj)
test_woe = sc.woebin_ply(test, bins_adj)
y_train = train_woe.loc[:,'creditability']
X_train = train_woe.loc[:,train_woe.columns != 'creditability']
y_test = test_woe.loc[:,'creditability']
X_test = test_woe.loc[:,train_woe.columns != 'creditability']
# logistic regression ------
from sklearn.linear_model import LogisticRegression
lr = LogisticRegression(penalty='l1', C=0.9, solver='saga', n_jobs=-1)
lr.fit(X_train, y_train)
# lr.coef_
# lr.intercept_
# predicted proability
train_pred = lr.predict_proba(X_train)[:,1]
test_pred = lr.predict_proba(X_test)[:,1]
# performance ks & roc ------
train_perf = sc.perf_eva(y_train, train_pred, title = "train")
test_perf = sc.perf_eva(y_test, test_pred, title = "test")
# score ------
card = sc.scorecard(bins_adj, lr, X_train.columns)
# credit score
train_score = sc.scorecard_ply(train, card, print_step=0)
test_score = sc.scorecard_ply(test, card, print_step=0)
# psi
sc.perf_psi(
score = {'train':train_score, 'test':test_score},
label = {'train':y_train, 'test':y_test}
)