客户分组对商业银行个人信用评分模型的提升作用研究

Research on the Promotion Effect of Customer Grouping on Personal Credit Scoring Model of Commercial Banks

分组模型是指根据借款人的行为特征分出不同的客群,是信用评分模型开发中的重要一环,可以提升信用评分模型的精度。采用模糊C均值聚类和CART决策树两种方法对全部借款人进行分组,并对分组后的每个客群进行WOE数值转换和逻辑回归信用评分模型的构建,通过对比发现分组后信用评分模型的KS和AUC均有提升,其中模糊C均值聚类作为无监督学习方法也取得较好的模型性能。

The grouping model,which refers to the classification of different customer groups based on the behavioral characteristics of borrowers,is an important part of credit scoring model development and can improve the accuracy of credit scoring models.Fuzzy C-means clustering and CART decision tree methods are used to group all borrowers,and WOE numerical conversion and logistic regression credit scoring model are constructed for each grouped customer group.By comparison,it is found that the KS and AUC of the credit scoring model are improved after grouping,and fuzzy C-means clustering as an unsupervised learning method also achieves better model performance.