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CAPE TOWN HEAD OFFICE Postal Address P.O. Box 2455 Cape Town 8000 South Africa

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. Scorecard Development with Model Builder for Predictive Analytics (MB4PA). JOHANNESBURG OFFICE Postal Address P.O. Box 3350 Parklands 2121 South Africa

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CAPE TOWN HEAD OFFICE Postal Address P.O. Box 2455 Cape Town 8000 South Africa

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  1. CAPE TOWN HEAD OFFICEPostal AddressP.O. Box 2455 Cape Town 8000 South Africa Tel: +27 (0)21 680-6000 Fax: +27 (0)21 680-6003 Scorecard Development with Model Builder for Predictive Analytics (MB4PA) JOHANNESBURG OFFICEPostal AddressP.O. Box 3350 Parklands 2121 South Africa Tel: +27 (0)11 759-0300 Fax: +27 (0)11 880-0466 Email: www.PICSolutions.com Web: Info@PICSolutions.com Presented by: David Coleman DColeman@PICSolutions.com

  2. Scoring Problem Formulation MB4PA Architecture KGB Scorecard Development Example Contents

  3. Scoring Problem Formulation MB4PA Architecture KGB Scorecard Development Example Contents

  4. Scoring Problem FormulationGeneral Formulation Non-linear Objective(Quadratic) Equality Constraints Inequality Constraints

  5. Bads Goods # O F A P P L I C A N T S SCORE Scoring Problem FormulationScoring Objective Function (Divergence)

  6. Scoring Problem FormulationWeight Restrictions

  7. Scoring Problem Formulation MB4PA Architecture KGB Scorecard Development Example Contents

  8. MB4PA Architecture • Fair Isaac product • Java developed component-based • Modelling Tools • Data Access • Data Preparation • Data Analysis • Model Training • Java Customisation • Performance Validation • Deployment

  9. MB4PA Architecture • Data Processing • Object Schemas • Dataset Configurations • Libraries • Workspaces • Configurations • Executables • Activities • Processes • Sequences

  10. MB4PA Architecture

  11. Scoring Problem Formulation MB4PA Architecture KGB Scorecard Development Example Contents

  12. Source data with fielded data records Data Access Sequence KGB Model Sequence Dataset Config Dataset Config Read Data Process Binning Process Characteristic Library Data with generated variables TrainingReports Data Object Schema Data Object Schema Model Workspace Model Training Process KGB Scorecard Development “Known Good Bad - We’re not ex-Soviet spies”

  13. Scoring Problem Formulation MB4PA Architecture KGB Scorecard Development Example Contents

  14. 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

  15. Example Growth Option Accept 73.2% Bad Rate ~20% Current Accept 60% Bad Rate 20% Conservative Option Accept ~60% Bad Rate 17.8%

  16. Scoring Problem Formulation MB4PA Architecture KGB Scorecard Development Example Contents

  17. 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

  18. Questions & Answers CAPE TOWN HEAD OFFICEOffice AddressPIC SolutionsBirkdale I, Riverpark Liesbeek Parkway, MowbrayCape Town, 8000 South Africa Postal AddressP.O. Box 2455 Cape Town 8000 South Africa Tel: +27 (0)21 680-6000 Fax: +27 (0)21 680-6003 Email: www.PICSolutions.com Web: Info@PICSolutions.com JOHANNESBURG OFFICEOffice AddressPIC Solutions5th Floor, JHI House 11 Cradock Avenue, RosebankJohannesburg, 2196 South Africa Postal AddressP.O. Box 3350 Parklands 2121 South Africa Tel: +27 (0)11 759-0300 Fax: +27 (0)11 880-0466

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