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  本文關(guān)鍵詞：正則化方法下生存模型的個人信用風(fēng)險分析　出處：《上海師范大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 信用風(fēng)險 生存分析 變量正則化 Logistic回歸 決策樹

【摘要】：信用風(fēng)險是銀行業(yè)的一個關(guān)鍵領(lǐng)域,是機構(gòu)、消費者和監(jiān)管機構(gòu)等各種利益相關(guān)者共同關(guān)注的問題。信用風(fēng)險的研究是金融領(lǐng)域的熱點研究主題,近些年也引起了統(tǒng)計研究者的關(guān)注。Wikipedia(2017)將信用風(fēng)險定義為:由于債務(wù)人不支付貸款而造成的損失風(fēng)險或其他信貸額度。信用風(fēng)險的核心是違約事件,當(dāng)債務(wù)人不能根據(jù)債務(wù)合同償付相關(guān)債務(wù)、履行法定義務(wù),就發(fā)生了違約事件。在銀行客戶信用風(fēng)險研究中,僅通過客戶是否違約來評價其信用好壞是不夠準(zhǔn)確的。因為大部分客戶在研究期內(nèi)不會發(fā)生違約行為,我們無法觀測到大部分個體的生存時間,這就產(chǎn)生了生存分析中常見的右刪失數(shù)據(jù)。在最近這些年,一些研究將生存分析的方法運用到信用風(fēng)險分析模型中。生存分析是一種動態(tài)分析方法,它不僅能預(yù)測事件發(fā)生的概率,也能預(yù)測事件發(fā)生的時間。它擅長處理刪失數(shù)據(jù)和截尾數(shù)據(jù),利用估計的生存概率可以更加直觀地反應(yīng)風(fēng)險與特征因素之間的關(guān)系。同時在模型中引入時間變量,能更好的體現(xiàn)對象的生存狀態(tài)。本文基于三年(36期)研究期內(nèi)60508個樣本銀行客戶420個高維特征變量的小額貸款脫敏數(shù)據(jù),在傳統(tǒng)的變量選擇方法受到挑戰(zhàn)的情況下,首先對當(dāng)今熱點的正則化方法進行查閱比較和算法嘗試。接著,我們創(chuàng)新性的將違約的跨度時間考慮到信用分析模型中,引入客戶首次違約的期數(shù),將數(shù)據(jù)處理為生存數(shù)據(jù)的固定格式,并分別建立基于LASSO-MCP正則化方法的Cox乘法危險率模型和基于LASSO-SCAD正則化方法的加法危險率模型。同時,我們將重要變量的系數(shù)估計值與對應(yīng)特征變量取值的乘積作為信用得分,建立分類規(guī)則,綜合評價每一個客戶的信用風(fēng)險。通過與銀行業(yè)務(wù)經(jīng)驗結(jié)果的反饋對比,給出基于生存模型的部分重要特征變量的經(jīng)濟意義。最后,我們從重要特征變量的結(jié)果和模型的預(yù)測效果兩個方面對生存分析的兩個模型進行比較。發(fā)現(xiàn)基于LASSO-MCP正則化方法的比例風(fēng)險模型用更少的特征變量卻得到了相對更好的分類效果。本文在最后從多個角度對基于不同方法的信用風(fēng)險分析模型進行效果驗證和比較。首先,基于實證數(shù)據(jù)分別實現(xiàn)傳統(tǒng)二分類Logistic回歸模型和現(xiàn)代決策樹模型。接著,將前述章節(jié)中生存分析的乘法模型和加法模型與二者比較�；�于理論分析和模型結(jié)果,從解釋模型準(zhǔn)確性的ROC曲線和代表模型區(qū)分能力的KS統(tǒng)計量兩個方面比較四個模型,發(fā)現(xiàn)生存分析Cox模型均優(yōu)于其他三種模型。這就從多方面驗證了本文引入生存時間并基于正則化方法建立的生存分析模型的良好實證效果。從模型整體的準(zhǔn)確性和區(qū)分力兩個方面,綜合得出:對于三年期小額貸款數(shù)據(jù),基與LASSO-MCP正則化方法的生存分析Cox比例風(fēng)險模型有最高的準(zhǔn)確性和最大的模型區(qū)分力。
[Abstract]:Credit risk is a key area of banking, is a common concern of various stakeholders, such as institutions, consumers and regulators. The research of credit risk is a hot research topic in the field of finance. In recent years it has also attracted the attention of statisticians. Wikipedia2017). The credit risk is defined as the loss risk or other credit line caused by the debtor's failure to pay the loan. The core of the credit risk is the default event. When the debtor can not pay the related debt according to the debt contract, and fulfill the legal obligations, there is a default event. In the study of the credit risk of bank customers. It is not accurate to judge the credit quality of customers simply by whether they default or not, because most customers do not default during the study period, and we can not observe the survival time of most individuals. In recent years, some studies have applied the method of survival analysis to credit risk analysis model. Survival analysis is a dynamic analysis method. It not only can predict the probability of the event, but also can predict the time of the event. It is good at dealing with censored data and censored data. The estimated survival probability can reflect the relationship between risk and characteristic factors more intuitively. At the same time, time variables are introduced into the model. This paper based on 60508 sample bank customers during the research period 420 high-dimensional characteristic variables of micro-credit desensitization data. When the traditional method of variable selection is challenged, the regularization methods of today's hot spots are first compared and the algorithms are tried. We creatively take the span of default into account of the credit analysis model, introduce the number of customer first default period, and process the data into a fixed format of survival data. Cox multiplicative hazard rate model based on LASSO-MCP regularization method and additive hazard rate model based on LASSO-SCAD regularization method are established respectively. We take the product of coefficient estimate of important variable and the value of corresponding characteristic variable as credit score and establish classification rules. Comprehensive evaluation of the credit risk of each customer. By comparing with the results of bank experience, the economic significance of some important characteristic variables based on survival model is given. Finally. We compare the two models of survival analysis in terms of the results of important feature variables and the prediction effect of the model. It is found that the proportional risk model based on LASSO-MCP regularization method uses fewer features. In the end, this paper validates and compares the credit risk analysis model based on different methods from several angles. Based on the empirical data, the traditional two-classification Logistic regression model and the modern decision tree model are implemented respectively. The multiplication model and addition model of survival analysis in the previous chapters are compared with the two models, based on theoretical analysis and model results. The four models are compared from two aspects: the ROC curve which explains the accuracy of the model and the KS statistics which represent the distinguishing ability of the model. It is found that the survival analysis Cox model is superior to the other three models, which verifies the good empirical effect of the survival analysis model introduced in this paper based on the regularization method. There are two aspects: accuracy and differentiability. It is concluded that for three-year microfinance data, the Cox proportional risk model has the highest accuracy and maximum distinguishing power between the base and the LASSO-MCP regularization method.
【學(xué)位授予單位】：上海師范大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.4

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