Python金融风险管理 PDF

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mob64ca1405a060 2024-12-18 06:30:17

文章标签 Python金融风险管理 PDF 数据挖掘机器学习 python ico 文章分类 Python 后端开发

导入数据分析相关库

# 导入标准库
import io, os, sys, types, time, datetime, math, random, requests, subprocess,io, tempfile, math

# 导入第三方库
# 数据处理
import numpy as np
import pandas as pd

# 数据可视化
import matplotlib.pyplot as plt
import missingno
import seaborn as sns 
# from pandas.tools.plotting import scatter_matrix  # No module named 'pandas.tools'
from mpl_toolkits.mplot3d import Axes3D
# plt.style.use('seaborn')  # 改变图像风格
plt.rcParams['font.family'] = ['Arial Unicode MS', 'Microsoft Yahei', 'SimHei', 'sans-serif']  # 解决中文乱码
plt.rcParams['axes.unicode_minus'] = False  # simhei黑体字 负号乱码 解决

# 特征选择和编码
from sklearn.feature_selection import RFE, RFECV
from sklearn.svm import SVR
from sklearn.decomposition import PCA
from sklearn import preprocessing
from sklearn.preprocessing import OneHotEncoder, LabelEncoder, label_binarize # Imputer
# from fancyimpute import BiScaler, KNN, NuclearNormMinimization, SoftImpute

# 机器学习
import sklearn.ensemble as ske
from sklearn import datasets, model_selection, tree, preprocessing, metrics, linear_model
from sklearn.svm import LinearSVC
from sklearn.ensemble import RandomForestClassifier, GradientBoostingClassifier
from sklearn.neighbors import KNeighborsClassifier
from sklearn.naive_bayes import GaussianNB
from sklearn.linear_model import LinearRegression, LogisticRegression, Ridge, Lasso, SGDClassifier
from sklearn.tree import DecisionTreeClassifier

# 网格搜索、随机搜索
import scipy.stats as st
from scipy.stats import randint as sp_randint
from sklearn.model_selection import GridSearchCV
from sklearn.model_selection import RandomizedSearchCV
from sklearn.model_selection import train_test_split

# 模型度量（分类）
from sklearn.metrics import precision_recall_fscore_support, roc_curve, auc

# 警告处理 
import warnings
warnings.filterwarnings('ignore')

# 在Jupyter上画图
%matplotlib inline

# 数据预处理
import numpy as np
import scipy as sc
import sklearn as sk
import matplotlib.pyplot as plt


# 绘图工具包
import seaborn as sns
import pyecharts.options as opts
from pyecharts.charts import Line, Grid

一、赛题数据

赛题以预测用户贷款是否违约为任务，数据集报名后可见并可下载，该数据来自某信贷平台的贷款记录，总数据量超过120w，包含47列变量信息，其中15列为匿名变量。为了保证比赛的公平性，将会从中抽取80万条作为训练集，20万条作为测试集A，20万条作为测试集B，同时会对employmentTitle、purpose、postCode和title等信息进行脱敏。

数据集导入

train
test

# 数据集路径

train_path = 'train.csv'
test_path = 'testA.csv'
dataset_path = './'
data_train_path = dataset_path + train_path
data_test_path = dataset_path + test_path


# 2.数据集csv读入
train = pd.read_csv(data_train_path)
test = pd.read_csv(data_test_path)

train.info()
test.info()

<class 'pandas.core.frame.DataFrame'>
RangeIndex: 800000 entries, 0 to 799999
Data columns (total 47 columns):
id                    800000 non-null int64
loanAmnt              800000 non-null float64
term                  800000 non-null int64
interestRate          800000 non-null float64
installment           800000 non-null float64
grade                 800000 non-null object
subGrade              800000 non-null object
employmentTitle       799999 non-null float64
employmentLength      753201 non-null object
homeOwnership         800000 non-null int64
annualIncome          800000 non-null float64
verificationStatus    800000 non-null int64
issueDate             800000 non-null object
isDefault             800000 non-null int64
purpose               800000 non-null int64
postCode              799999 non-null float64
regionCode            800000 non-null int64
dti                   799761 non-null float64
delinquency_2years    800000 non-null float64
ficoRangeLow          800000 non-null float64
ficoRangeHigh         800000 non-null float64
openAcc               800000 non-null float64
pubRec                800000 non-null float64
pubRecBankruptcies    799595 non-null float64
revolBal              800000 non-null float64
revolUtil             799469 non-null float64
totalAcc              800000 non-null float64
initialListStatus     800000 non-null int64
applicationType       800000 non-null int64
earliesCreditLine     800000 non-null object
title                 799999 non-null float64
policyCode            800000 non-null float64
n0                    759730 non-null float64
n1                    759730 non-null float64
n2                    759730 non-null float64
n3                    759730 non-null float64
n4                    766761 non-null float64
n5                    759730 non-null float64
n6                    759730 non-null float64
n7                    759730 non-null float64
n8                    759729 non-null float64
n9                    759730 non-null float64
n10                   766761 non-null float64
n11                   730248 non-null float64
n12                   759730 non-null float64
n13                   759730 non-null float64
n14                   759730 non-null float64
dtypes: float64(33), int64(9), object(5)
memory usage: 286.9+ MB
<class 'pandas.core.frame.DataFrame'>
RangeIndex: 200000 entries, 0 to 199999
Data columns (total 46 columns):
id                    200000 non-null int64
loanAmnt              200000 non-null float64
term                  200000 non-null int64
interestRate          200000 non-null float64
installment           200000 non-null float64
grade                 200000 non-null object
subGrade              200000 non-null object
employmentTitle       200000 non-null float64
employmentLength      188258 non-null object
homeOwnership         200000 non-null int64
annualIncome          200000 non-null float64
verificationStatus    200000 non-null int64
issueDate             200000 non-null object
purpose               200000 non-null int64
postCode              200000 non-null float64
regionCode            200000 non-null int64
dti                   199939 non-null float64
delinquency_2years    200000 non-null float64
ficoRangeLow          200000 non-null float64
ficoRangeHigh         200000 non-null float64
openAcc               200000 non-null float64
pubRec                200000 non-null float64
pubRecBankruptcies    199884 non-null float64
revolBal              200000 non-null float64
revolUtil             199873 non-null float64
totalAcc              200000 non-null float64
initialListStatus     200000 non-null int64
applicationType       200000 non-null int64
earliesCreditLine     200000 non-null object
title                 200000 non-null float64
policyCode            200000 non-null float64
n0                    189889 non-null float64
n1                    189889 non-null float64
n2                    189889 non-null float64
n3                    189889 non-null float64
n4                    191606 non-null float64
n5                    189889 non-null float64
n6                    189889 non-null float64
n7                    189889 non-null float64
n8                    189889 non-null float64
n9                    189889 non-null float64
n10                   191606 non-null float64
n11                   182425 non-null float64
n12                   189889 non-null float64
n13                   189889 non-null float64
n14                   189889 non-null float64
dtypes: float64(33), int64(8), object(5)
memory usage: 70.2+ MB

字段表

id 为贷款清单分配的唯一信用证标识
loanAmnt 贷款金额
term 贷款期限（year）
interestRate 贷款利率
installment 分期付款金额
grade 贷款等级
subGrade 贷款等级之子级
employmentTitle 就业职称
employmentLength 就业年限（年）
homeOwnership 借款人在登记时提供的房屋所有权状况
annualIncome 年收入
verificationStatus 验证状态
issueDate 贷款发放的月份
purpose 借款人在贷款申请时的贷款用途类别
postCode 借款人在贷款申请中提供的邮政编码的前3位数字
regionCode 地区编码
dti 债务收入比
delinquency_2years 借款人过去2年信用档案中逾期30天以上的违约事件数
ficoRangeLow 借款人在贷款发放时的fico所属的下限范围
ficoRangeHigh 借款人在贷款发放时的fico所属的上限范围
openAcc 借款人信用档案中未结信用额度的数量
pubRec 贬损公共记录的数量
pubRecBankruptcies 公开记录清除的数量
revolBal 信贷周转余额合计
revolUtil 循环额度利用率，或借款人使用的相对于所有可用循环信贷的信贷金额
totalAcc 借款人信用档案中当前的信用额度总数
initialListStatus 贷款的初始列表状态
applicationType 表明贷款是个人申请还是与两个共同借款人的联合申请
earliesCreditLine 借款人最早报告的信用额度开立的月份
title 借款人提供的贷款名称
policyCode 公开可用的策略代码=1新产品不公开可用的策略代码=2
n系列匿名特征匿名特征n0-n14，为一些贷款人行为计数特征的处理

观察各个字段含义和实际数值

# 数据维度
train.shape, test.shape

((800000, 47), (200000, 46))

# train.head(20).iloc[:,:13]
train.head(20).iloc[:,13:26]

	isDefault	purpose	postCode	regionCode	dti	delinquency_2years	ficoRangeLow	ficoRangeHigh	openAcc	pubRec	pubRecBankruptcies	revolBal	revolUtil
0	1	1	137.0	32	17.05	0.0	730.0	734.0	7.0	0.0	0.0	24178.0	48.9
1	0	0	156.0	18	27.83	0.0	700.0	704.0	13.0	0.0	0.0	15096.0	38.9
2	0	0	337.0	14	22.77	0.0	675.0	679.0	11.0	0.0	0.0	4606.0	51.8
3	0	4	148.0	11	17.21	0.0	685.0	689.0	9.0	0.0	0.0	9948.0	52.6
4	0	10	301.0	21	32.16	0.0	690.0	694.0	12.0	0.0	0.0	2942.0	32.0
5	0	9	512.0	21	17.14	0.0	730.0	734.0	19.0	0.0	0.0	4047.0	31.1
6	0	0	517.0	14	17.49	0.0	755.0	759.0	12.0	0.0	0.0	3111.0	8.5
7	0	0	100.0	4	32.60	0.0	665.0	669.0	8.0	1.0	1.0	14021.0	59.7
8	1	0	792.0	13	19.22	0.0	690.0	694.0	15.0	0.0	0.0	27176.0	46.0
9	0	0	59.0	11	24.39	0.0	725.0	729.0	7.0	0.0	0.0	2936.0	30.6
10	0	4	134.0	8	14.21	0.0	665.0	669.0	13.0	0.0	0.0	8653.0	47.5
11	0	0	893.0	49	34.63	0.0	710.0	714.0	10.0	0.0	0.0	16343.0	80.9
12	0	0	195.0	38	7.58	0.0	680.0	684.0	12.0	0.0	0.0	18866.0	35.7
13	0	2	134.0	8	5.68	0.0	690.0	694.0	7.0	0.0	0.0	4334.0	68.8
14	0	4	167.0	8	38.95	0.0	710.0	714.0	9.0	0.0	0.0	19023.0	60.8
15	0	2	194.0	38	17.27	0.0	660.0	664.0	16.0	1.0	1.0	220.0	3.6
16	0	2	492.0	36	21.02	0.0	705.0	709.0	16.0	0.0	0.0	36609.0	61.1
17	1	4	56.0	8	17.14	0.0	695.0	699.0	5.0	0.0	0.0	5463.0	76.9
18	1	3	140.0	8	28.95	3.0	660.0	664.0	6.0	0.0	0.0	6804.0	84.0
19	0	0	305.0	15	15.55	0.0	700.0	704.0	10.0	0.0	0.0	22859.0	57.0

数据处理

查看缺失值

可以看到employmentLength这一字段缺失情况严重

missingno.bar(train)

<matplotlib.axes._subplots.AxesSubplot at 0x20f802ad588>

Python金融风险管理 PDF_数据挖掘

# employmentLength字段值的分布
train['employmentLength'].value_counts()

10+ years    262753
2 years       72358
< 1 year      64237
3 years       64152
1 year        52489
5 years       50102
4 years       47985
6 years       37254
8 years       36192
7 years       35407
9 years       30272
Name: employmentLength, dtype: int64