PHỤC LỤC 3
CÁC KẾT QUẢ CHẠY MÔ HÌNH
Thống kê mô tả
=================================================================
Statistic N Mean St. Dev. Min Pctl(25) Pctl(75) Max
-----------------------------------------------------------------
5,498 21.769 6.250 | 12 | 17 | 26 | 36 | |
age | 5,498 32.823 9.514 | 20 | 23 | 41 | 53 |
size | 5,498 4.993 0.801 | 4 | 4 | 6 | 6 |
Numberdepend | 5,498 3.027 1.128 | 1 | 2 | 4 | 5 |
number | 5,498 552.107 259.918 | 100 | 328 | 773 | 1,000 |
time | 5,498 14.207 6.793 | 1 | 11 | 18 | 30 |
pay_income | 5,498 0.397 0.118 | 0.200 | 0.300 | 0.500 | 0.600 |
Có thể bạn quan tâm!
-
Giải Pháp Liên Quan Tới Cải Thiện Hệ Thống Chấm Điểm Tín Dụng Định Kỳ -
Kithinji, A. M. (2010),credit Risk Management And Profitability Of Commercial Banks In Kenya. -
Nghiên cứu các yếu tố ảnh hưởng đến khả năng vỡ nợ của khách hàng cá nhân tại ngân hàng Hợp tác xã Việt Nam - 16
Xem toàn bộ 136 trang tài liệu này.
-----------------------------------------------------------------
Hồi quy Logisitic
logit1 <- glm(data=d,DL~edu+gender+married+lltp+shkd+age+size+Numberdepend+number+job
+pos+time+COMP+income+exp+sit+obj+Djob+ASS+pay_income+BHNT,family=binomial)
> summary(logit1)
Call:
glm(formula = DL ~ edu + gender + married + lltp + shkd + age + size + Numberdepend + number + job + pos + time + COMP + income + exp + sit + obj + Djob + ASS + pay_income + BHNT, family = binomial, data = d)
Deviance Residuals:
Min 1Q Median 3Q Max
-2.60050 -0.23077 0.02804 0.16710 2.82412
Coefficients:
Estimate Std. Error z value Pr(>|z|)
(Intercept) 1.420e+01 8.484e-01 16.737 < 2e-16 *** eduTC 2.253e-01 1.951e-01 1.155 0.248272
eduCD_DH -6.597e-01 1.915e-01 -3.445 0.000571 ***
eduSDH -8.975e-02 1.369e-01 -0.655 0.512187
genderMale 8.570e-01 1.421e-01 6.030 1.64e-09 *** marriedMarried -6.551e-01 1.146e-01 -5.716 1.09e-08 *** lltpgood 6.929e-01 2.229e-01 3.109 0.001879 **
shkdlamchu -4.957e+00 1.703e-01 -29.114 < 2e-16 *** age -7.294e-02 8.916e-03 -8.181 2.82e-16 ***
size -2.300e-01 9.663e-02 -2.380 0.017301 *
Numberdepend 5.282e-02 7.072e-02 0.747 0.455127
number 8.813e-06 3.174e-04 0.028 0.977847
job 1.744e+00 1.001e+00 1.742 0.081507 .
posTruongBoPhan -2.337e-02 2.071e-01 -0.113 0.910178
posNhanvien 5.550e-01 3.011e-01 1.843 0.065263 .
time -2.264e-02 1.054e-02 -2.147 0.031771 *
COMP -5.450e-01 1.414e-01 -3.854 0.000116 *** income -1.218e-01 1.071e-02 -11.377 < 2e-16 *** expTrung -1.323e+00 2.322e-01 -5.696 1.23e-08 *** expDai -8.374e-01 2.398e-01 -3.492 0.000480 ***
sitCham1 -8.901e-02 1.550e-01 -0.574 0.565849
sitChamHon2 1.410e+00 2.621e-01 5.378 7.54e-08 *** objDungMucDich 2.248e-01 1.134e-01 1.983 0.047378 * DjobDjob 5.236e-01 1.137e-01 4.605 4.12e-06 *** ASSBDS -1.793e+00 1.247e-01 -14.375 < 2e-16 *** pay_income 4.287e-01 4.787e-01 0.896 0.370498 BHNTYes -1.098e+00 2.286e-01 -4.805 1.55e-06 ***
---
Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
Dự báo chính xác hồi quy Logistic
Dự báo NonDefault Default Default 257 2541
NonDefault 2439 261
Dự báo cho dữ liệu 500 khách hàng qua hồi quy Logistic vừa xây dựng
Confusion Matrix and Statistics
Reference Prediction NonDefault Default
NonDefault 181 27
Default 50 242
0.846 | |
95% CI : | (0.8113, 0.8765) |
No Information Rate : | 0.538 |
P-Value [Acc > NIR] : | < 2e-16 |
Kappa : | 0.688 |
Mcnemar's Test P-Value : | 0.01217 |
Sensitivity : | 0.7835 |
Specificity : | 0.8996 |
Pos Pred Value : | 0.8702 |
Neg Pred Value : | 0.8288 |
Prevalence : | 0.4620 |
Detection Rate : | 0.3620 |
Detection Prevalence : | 0.4160 |
Balanced Accuracy : | 0.8416 |
'Positive' Class : | NonDefault |
Ước lượng mô hình Probit
Call: NULL
Deviance Residuals:
Min 1Q Median 3Q Max
-2.56362 -0.21201 0.00387 0.12975 2.84189
Coefficients:
Estimate Std. Error z value Pr(>|z|)
7.748e+00 | 4.529e-01 | 17.108 | < 2e-16 | *** | |
eduTC | 1.306e-01 | 1.068e-01 | 1.223 | 0.221288 | |
eduCD_DH | -3.686e-01 | 1.040e-01 | -3.545 | 0.000393 | *** |
eduSDH | -3.664e-02 | 7.617e-02 | -0.481 | 0.630440 | |
genderMale | 4.750e-01 | 7.882e-02 | 6.026 | 1.68e-09 | *** |
marriedMarried | -3.535e-01 | 6.239e-02 | -5.666 | 1.46e-08 | *** |
lltpgood | 3.738e-01 | 1.164e-01 | 3.212 | 0.001316 | ** |
shkdlamchu | -2.771e+00 | 8.800e-02 | -31.491 | < 2e-16 | *** |
age | -3.696e-02 | 4.886e-03 | -7.565 | 3.88e-14 | *** |
size | -1.152e-01 | 5.342e-02 | -2.157 | 0.031033 | * |
Numberdepend | 2.243e-02 | 3.855e-02 | 0.582 | 0.560707 | |
number | -5.108e-05 | 1.735e-04 | -0.294 | 0.768435 | |
job | 9.979e-01 | 5.164e-01 | 1.932 | 0.053307 | . |
posTruongBoPhan | 7.210e-03 | 1.132e-01 | 0.064 | 0.949206 |
3.092e-01 1.641e-01 1.884 0.059518 . | |
time | -1.663e-02 5.744e-03 -2.895 0.003794 ** |
COMP | -2.782e-01 7.791e-02 -3.571 0.000355 *** |
income | -6.825e-02 5.793e-03 -11.781 < 2e-16 *** |
expTrung | -7.277e-01 1.268e-01 -5.740 9.46e-09 *** |
expDai | -4.789e-01 1.310e-01 -3.655 0.000257 *** |
sitCham1 | -5.089e-03 8.279e-02 -0.061 0.950985 |
sitChamHon2 | -7.500e-01 1.440e-01 -5.208 1.91e-07 *** |
objDungMucDich | 1.027e-01 6.215e-02 1.653 0.098401 . |
DjobDjob | 3.074e-01 6.253e-02 4.917 8.80e-07 *** |
`ASSBÄ220S` | -9.535e-01 6.771e-02 -14.083 < 2e-16 *** |
pay_income | 2.278e-01 2.624e-01 0.868 0.385316 |
BHNTYes | -5.828e-01 1.234e-01 -4.722 2.34e-06 *** |
--- | |
Signif. codes: | 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 |
(Dispersion parameter for binomial family taken to be 1)
Null deviance: 7619.8 on 5497 degrees of freedom Residual deviance: 2214.8 on 5471 degrees of freedom AIC: 2268.8
Number of Fisher Scoring iterations: 8
Dự báo chính xác của mô hình Probit
Confusion Matrix and Statistics
Reference Prediction NonDefault Default
NonDefault 183 29
Default 48 240
0.846 | |
95% CI : | (0.8113, 0.8765) |
No Information Rate : | 0.538 |
P-Value [Acc > NIR] : | < 2e-16 |
Kappa : | 0.6884 |
Mcnemar's Test P-Value : | 0.04024 |
Sensitivity : | 0.7922 |
Specificity : | 0.8922 |
Pos Pred Value : | 0.8632 |
Neg Pred Value : | 0.8333 |
Prevalence : | 0.4620 |
Detection Rate : | 0.3660 |
Detection Prevalence : | 0.4240 |
Balanced Accuracy : | 0.8422 |
'Positive' Class : | NonDefault |
Dự báo mô hình trí tuệ nhân tạo ANN
network$result.matrix
[,1]
error 2.111095e+02 reached.threshold 9.626915e-03 steps 4.128000e+03 Intercept.to.DL 1.527642e+00 edu.to.DL 1.075725e-02
gender.to.DL 4.297544e-02 married.to.DL -3.726653e-02 lltp.to.DL 5.349454e-02
shkd.to.DL -5.097059e-01
age.to.DL -4.908806e-03
size.to.DL -2.816032e-03 Numberdepend.to.DL 3.303935e-03 number.to.DL -3.016145e-05
pos.to.DL 2.770700e-02
time.to.DL -2.951668e-03
COMP.to.DL -3.955029e-02
income.to.DL -7.765418e-03
exp.to.DL -6.890702e-02
sit.to.DL -3.007846e-02
obj.to.DL 1.397992e-02
Djob.to.DL 4.479433e-02
ASS.to.DL -1.302112e-01
pay_income.to.DL 7.246280e-02 BHNT.to.DL -1.440990e-01
Khả năng dự báo của mô hình ANN với 500 mẫu kiểm tra
FALSE TRUE 0 184 47
1 34 235
Dự báo mô hình Random Forest
Confusion Matrix and Statistics
Reference Prediction NonDefault Default
NonDefault 2696 0
Default 0 2802
Accuracy : 1
95% CI : (0.9993, 1)
No Information Rate : 0.5096
P-Value [Acc > NIR] : < 2.2e-16
Kappa : 1 Mcnemar's Test P-Value : NA
Sensitivity : 1.0000
Specificity : 1.0000 Pos Pred Value : 1.0000 Neg Pred Value : 1.0000 Prevalence : 0.4904 Detection Rate : 0.4904
Detection Prevalence : 0.4904 Balanced Accuracy : 1.0000
'Positive' Class : NonDefault
Dự báo trên 500 mẫu kiểm tra
Confusion Matrix and Statistics
Reference Prediction NonDefault Default
NonDefault 217 0
Default 14 269
0.972 | |
95% CI : | (0.9535, 0.9846) |
No Information Rate : | 0.538 |
P-Value [Acc > NIR] : | < 2.2e-16 |
Kappa : | 0.9434 |
Mcnemar's Test P-Value : | 0.000512 |
Sensitivity : | 0.9394 |
Specificity : | 1.0000 |
Pos Pred Value : | 1.0000 |
Neg Pred Value : | 0.9505 |
Prevalence : | 0.4620 |
Detection Rate : | 0.4340 |
Detection Prevalence : | 0.4340 |
Balanced Accuracy : | 0.9697 |
'Positive' Class : | NonDefault |