CAPE TOWN HEAD OFFICE Postal Address P.O. Box 2455 Cape Town 8000 South Africa Tel: +27 (0)21 680-6000 Fax: +27 (0)21 680-6003 JOHANNESBURG OFFICE Postal

CAPE TOWN HEAD OFFICE

Postal AddressP.O. Box 2455

Cape Town8000

South Africa

Tel: +27 (0)21 680-6000Fax: +27 (0)21 680-6003

JOHANNESBURG OFFICE


Parklands2121

South Africa

Tel: +27 (0)11 759-0300Fax: +27 (0)11 880-0466

Email: www.PICSolutions.comWeb: [email protected]

Scorecard Development with Scorecard Development with Model Builder for Predictive Model Builder for Predictive Analytics (MB4PA)Analytics (MB4PA)

Presented by: David [email protected]

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SOLUTIONSwww.PICSolutions.com© Copyright PIC Solutions 2006

Contents

Scoring Problem Formulation

MB4PA Architecture

KGB Scorecard Development

Example

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Contents


MB4PA Architecture


Example

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Scoring Problem FormulationGeneral Formulation

Iiwc

Eiwc

wf

i

i

0

0subject to

min

Equality Constraints

Inequality Constraints

Non-linear Objective(Quadratic)

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Scoring Problem FormulationScoring Objective Function (Divergence)

SCORE

GoodsBads

# O

FA

P P

L I

C A

N T

S BG

BBGG

22

21

2

ww

wwwf

BG

BG

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Scoring Problem FormulationWeight Restrictions

18-25 25-30 30-40 40+

Age

Ris

k 4321 ,,, wwwww

1w

4w

3w2w

43

32

21

ww

ww

ww

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Contents


MB4PA Architecture


Example

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MB4PA Architecture

Fair Isaac product

Java developed component-based

Modelling Tools Data Access Data Preparation Data Analysis Model Training Java Customisation Performance Validation Deployment

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MB4PA Architecture

Data Processing Object Schemas Dataset Configurations Libraries Workspaces Configurations

Executables Activities Processes Sequences

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MB4PA Architecture

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Contents


MB4PA Architecture


Example

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“Known Good Bad - We’re not ex-Soviet spies”

TOTAL

POPULATION

REJECTED ACCEPTED

GOOD BAD

Characteristic Library

Model Workspace

TrainingReports

Source data with

fielded data records

Data Access Sequence

Read Data Process

Dataset Config

Data Object Schema

Dataset Config

Data Object Schema

KGB Model Sequence

Binning Process

Model Training Process

Data with generated variables

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Contents


MB4PA Architecture


Example

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Example

Role Retail Credit Risk Manager

Current Business Environment Acceptance Rate 60% Bad Rate 20%

Objectives Increase Acceptance Rate / Maintain Bad Rate Decrease Bad Rate / Maintain Acceptance Rate

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Example

Cumulative Descending

Score Range Accepted Percent Odds Bad Rate

184.00 -< 185.00 21,733 79.45% 3.718 0.212

185.00 -< 186.00 21,345 78.04% 3.761 0.21

186.00 -< 187.00 20,920 76.48% 3.818 0.208

187.00 -< 188.00 20,493 74.92% 3.891 0.204

188.00 -< 189.00 20,032 73.24% 3.967 0.201

189.00 -< 190.00 19,569 71.54% 4.038 0.198

190.00 -< 191.00 19,110 69.86% 4.126 0.195

191.00 -< 192.00 18,602 68.01% 4.218 0.192

192.00 -< 193.00 18,118 66.24% 4.299 0.189

193.00 -< 194.00 17,632 64.46% 4.404 0.185

194.00 -< 195.00 17,090 62.48% 4.492 0.182

195.00 -< 196.00 16,513 60.37% 4.619 0.178

196.00 -< 197.00 16,006 58.52% 4.686 0.176

197.00 -< 198.00 15,489 56.63% 4.747 0.174

198.00 -< 199.00 14,948 54.65% 4.862 0.171

199.00 -< 200.00 14,437 52.78% 4.961 0.168

200.00 -< 201.00 13,885 50.76% 5.053 0.165

Current

Accept 60%

Bad Rate 20%

Growth Option

Accept 73.2%

Bad Rate ~20%

Conservative Option

Accept ~60%

Bad Rate 17.8%

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Contents


MB4PA Architecture


Example

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Websites

Argone National Laboratory, Mathematics and Computer Science Divisionwww-fp.mcs.anl.gov/otc/Guide/OptWeb/

Ascher, Uri M: Course Notes in Numerical Optimisation www.cs.ubc.ca/~ascher/542/chap11.pdf

Fair Isaac: www.fairisaac.com

Gockenbach, Mark S: Introduction to sequential quadratic programming www.math.mtu.edu/~msgocken/ma5630spring2003/lectures/sqp1/sqp1.pdf

Padula, Anthony: Introduction to sequential quadratic programming www.caam.rice.edu/~adpadu/talks/sqp1.pdf

PIC Solutions: www.picsolutions.com

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CAPE TOWN HEAD OFFICE

Office AddressPIC Solutions

Birkdale I, RiverparkLiesbeek Parkway, Mowbray

Cape Town, 8000South Africa


Cape Town8000

South Africa

Tel: +27 (0)21 680-6000Fax: +27 (0)21 680-6003

Email: www.PICSolutions.comWeb: [email protected]

JOHANNESBURG OFFICE

Office AddressPIC Solutions

5th Floor, JHI House11 Cradock Avenue, Rosebank

Johannesburg, 2196South Africa


Parklands2121

South Africa

Tel: +27 (0)11 759-0300Fax: +27 (0)11 880-0466

Questions & AnswersQuestions & Answers

Documents

CAPE TOWN HEAD OFFICE Postal Address P.O. Box 2455 Cape Town 8000 South Africa Tel: +27 (0)21 680-6000 Fax: +27 (0)21 680-6003 JOHANNESBURG OFFICE Postal