Credit Risk Modeling Using WOE
Dataset: https://www.kaggle.com/teejmahal20/airline-passenger-satisfaction
- Part I: Credit Scoring using WOE
- Fine classing & calculate WOE
- Coarse classing & calculate WOE
- Logistic Regression
- Quality Assessment
distribution of the scores card [1: defaulted / 0: not defaulted]
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Part II: Tree-based Models
- decision tree model
- random forest model
- model interpretability using SHAP
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Part III: Model Comparison
| models | train_aucs | test_aucs | |
|---|---|---|---|
| 1 | logistic regression | 0.95618 | 0.95890 |
| 2 | basic decision tree | 0.90282 | 0.90626 |
| 3 | optimal decision tree | 0.96584 | 0.96168 |
| 4 | random forest | 0.99167 | 0.99190 |