Compute Score points from default probability in random forest

Andrea Bedin

2019 5 20

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7 次查看（30 天）

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Hi, I need to calculate the score associated with a default probability (PD) in a random forest (treebagger) model.

In my model the final node of the tree can be either default or non-default so the PD is the percentage of time that the borrower is in the "default" final node

I want to compare the scores computed with a logistic regression (creditscorecard) with the default probability of the random forest.

While the logit allows with "fitmodel" the computation of the score associated with a given PD, setting targetscore, targetodds and PDO, this is not possible for a treebagger object. Do you have any idea of how I could be able to associate Score and PD ? Thanks.