Main Content

Treat Missing Data in a Credit Scorecard Workflow Using MATLAB® fillmissing

This example shows a workflow to gather missing data, manually treat the training data, develop a new creditscorecard, and treat new data before scoring using the MATLAB® fillmissing.

The advantage of this method is that you can use all the options available in fillmissing to fill missing data, as well as other MATLAB functionality such as standardizeMissing and features for the treatment of outliers. In this approach, note that you must ensure that the treatment of the training data and the treatment of any new data set that requires scoring must be the same.

Alternatively, after you create a creditscorecard object, you can use the fillmissing function for the creditscorecard object to fill missing values. For additional information on alternative approaches for "treating" missing data, see Credit Scorecard Modeling with Missing Values.

The dataMissing table in the CreditCardData.mat file has two predictors with missing values — CustAge and ResStatus.

load CreditCardData.mat
head(dataMissing)
ans=8×11 table
    CustID    CustAge    TmAtAddress     ResStatus     EmpStatus    CustIncome    TmWBank    OtherCC    AMBalance    UtilRate    status
    ______    _______    ___________    ___________    _________    __________    _______    _______    _________    ________    ______

      1          53          62         <undefined>    Unknown        50000         55         Yes       1055.9        0.22        0   
      2          61          22         Home Owner     Employed       52000         25         Yes       1161.6        0.24        0   
      3          47          30         Tenant         Employed       37000         61         No        877.23        0.29        0   
      4         NaN          75         Home Owner     Employed       53000         20         Yes       157.37        0.08        0   
      5          68          56         Home Owner     Employed       53000         14         Yes       561.84        0.11        0   
      6          65          13         Home Owner     Employed       48000         59         Yes       968.18        0.15        0   
      7          34          32         Home Owner     Unknown        32000         26         Yes       717.82        0.02        1   
      8          50          57         Other          Employed       51000         33         No        3041.2        0.13        0   

First, analyze the missing data information using the untreated training data.

Create a creditscorecard object using the CreditCardData.mat file to load the dataMissing that contains missing values. Set the 'BinMissingData' argument for creditscorecard to true to explicitly report information on missing values. Then apply automatic binning using autobinning.

sc = creditscorecard(dataMissing,'IDVar','CustID','BinMissingData',true);
sc = autobinning(sc);

The bin information and bin plots for predictors that have missing data both show a <missing> bin at the end. The two predictors with missing values in this data set are CustAge and ResStatus.

bi = bininfo(sc,'CustAge');
disp(bi)
         Bin         Good    Bad     Odds       WOE       InfoValue 
    _____________    ____    ___    ______    ________    __________

    {'[-Inf,33)'}     69      52    1.3269    -0.42156      0.018993
    {'[33,37)'  }     63      45       1.4    -0.36795      0.012839
    {'[37,40)'  }     72      47    1.5319     -0.2779     0.0079824
    {'[40,46)'  }    172      89    1.9326    -0.04556     0.0004549
    {'[46,48)'  }     59      25      2.36     0.15424     0.0016199
    {'[48,51)'  }     99      41    2.4146     0.17713     0.0035449
    {'[51,58)'  }    157      62    2.5323     0.22469     0.0088407
    {'[58,Inf]' }     93      25      3.72     0.60931      0.032198
    {'<missing>'}     19      11    1.7273    -0.15787    0.00063885
    {'Totals'   }    803     397    2.0227         NaN      0.087112
plotbins(sc,'CustAge')

bi = bininfo(sc,'ResStatus');
disp(bi)
         Bin          Good    Bad     Odds        WOE       InfoValue 
    ______________    ____    ___    ______    _________    __________

    {'Tenant'    }    296     161    1.8385    -0.095463     0.0035249
    {'Home Owner'}    352     171    2.0585     0.017549    0.00013382
    {'Other'     }    128      52    2.4615      0.19637     0.0055808
    {'<missing>' }     27      13    2.0769     0.026469    2.3248e-05
    {'Totals'    }    803     397    2.0227          NaN     0.0092627
plotbins(sc,'ResStatus')

The missing bin can be left as is, although a common alternative is to treat the missing values. Note that treating the missing values must be done with care because it changes the data and can introduce bias.

To treat missing values, you can apply different criteria. This example follows a straightforward approach to replace missing observations with the most common or typical value in the data distribution, which is the value of mode for the data. For this example, the mode happens to have a similar WOE value as the original <missing> bin. The similarity in values is favorable because similar WOE values means similar points in a scorecard.

For CustAge, bin 4 is the bin with the most observations and the mode value of the original data is 43.

modeCustAge = mode(dataMissing.CustAge);
disp(modeCustAge)
    43

The WOE value of the <missing> bin is similar to the WOE value of bin 4. Therefore, replacing the missing values in CustAge with the value of mode is reasonable.

To treat the data, create a copy of the data and fill the missing values.

dataTreated = dataMissing;
dataTreated.CustAge = fillmissing(dataTreated.CustAge,'constant',modeCustAge);

For ResStatus, the value of 'Home Owner' is the value of the mode of the data, and the WOE value of the <missing> bin is closest to that of the 'Home Owner' bin.

modeResStatus = mode(dataMissing.ResStatus);
disp(modeResStatus)
     Home Owner 

Use MATLAB® fillmissing to replace the missing data with 'Home Owner'.

dataTreated.ResStatus = fillmissing(dataTreated.ResStatus,'constant',string(modeResStatus));

The treated data set now has no missing values.

disp(any(any(ismissing(dataTreated))))
   0

Using the treated data set, apply the typical creditscorecard workflow. First, create a creditscorecard object with the treated data and then apply automatic binning.

scTreated = creditscorecard(dataTreated,'IDVar','CustID');
scTreated = autobinning(scTreated);

Compare the bin information of the untreated data for CustAge with the bin information of the treated data for CustAge.

bi = bininfo(sc,'CustAge');
disp(bi)
         Bin         Good    Bad     Odds       WOE       InfoValue 
    _____________    ____    ___    ______    ________    __________

    {'[-Inf,33)'}     69      52    1.3269    -0.42156      0.018993
    {'[33,37)'  }     63      45       1.4    -0.36795      0.012839
    {'[37,40)'  }     72      47    1.5319     -0.2779     0.0079824
    {'[40,46)'  }    172      89    1.9326    -0.04556     0.0004549
    {'[46,48)'  }     59      25      2.36     0.15424     0.0016199
    {'[48,51)'  }     99      41    2.4146     0.17713     0.0035449
    {'[51,58)'  }    157      62    2.5323     0.22469     0.0088407
    {'[58,Inf]' }     93      25      3.72     0.60931      0.032198
    {'<missing>'}     19      11    1.7273    -0.15787    0.00063885
    {'Totals'   }    803     397    2.0227         NaN      0.087112
biTreated = bininfo(scTreated,'CustAge');
disp(biTreated)
         Bin         Good    Bad     Odds       WOE       InfoValue
    _____________    ____    ___    ______    ________    _________

    {'[-Inf,33)'}     69      52    1.3269    -0.42156     0.018993
    {'[33,37)'  }     63      45       1.4    -0.36795     0.012839
    {'[37,40)'  }     72      47    1.5319     -0.2779    0.0079824
    {'[40,45)'  }    156      86     1.814    -0.10891    0.0024345
    {'[45,48)'  }     94      39    2.4103     0.17531    0.0033002
    {'[48,58)'  }    256     103    2.4854     0.20603      0.01223
    {'[58,Inf]' }     93      25      3.72     0.60931     0.032198
    {'Totals'   }    803     397    2.0227         NaN     0.089977

The first few bins are the same, but the treatment of missing values influences the binning results, starting with the bin where the missing data is placed. You can further explore your binning results using autobinning with a different algorithm or you can manually modify the bins using modifybins.

For ResStatus, the results for the treated data look similar to the initial results, except for the higher counts in the 'Home Owner' bin due to the treatment. For a categorical variable with more categories (or levels), an automatic algorithm can find category groups and the results can show more differences for before and after the treatment.

bi = bininfo(sc,'ResStatus');
disp(bi)
         Bin          Good    Bad     Odds        WOE       InfoValue 
    ______________    ____    ___    ______    _________    __________

    {'Tenant'    }    296     161    1.8385    -0.095463     0.0035249
    {'Home Owner'}    352     171    2.0585     0.017549    0.00013382
    {'Other'     }    128      52    2.4615      0.19637     0.0055808
    {'<missing>' }     27      13    2.0769     0.026469    2.3248e-05
    {'Totals'    }    803     397    2.0227          NaN     0.0092627
biTreated = bininfo(scTreated,'ResStatus');
disp(biTreated)
         Bin          Good    Bad     Odds        WOE       InfoValue 
    ______________    ____    ___    ______    _________    __________

    {'Tenant'    }    296     161    1.8385    -0.095463     0.0035249
    {'Home Owner'}    379     184    2.0598     0.018182    0.00015462
    {'Other'     }    128      52    2.4615      0.19637     0.0055808
    {'Totals'    }    803     397    2.0227          NaN     0.0092603

Fit the logistic model, scale the points, and display the final scorecard.

[scTreated, mdl] = fitmodel(scTreated,'Display','off');
scTreated = formatpoints(scTreated,'PointsOddsAndPDO',[500 2 50]);
ScPoints = displaypoints(scTreated);
disp(ScPoints)
      Predictors               Bin             Points
    ______________    _____________________    ______

    {'CustAge'   }    {'[-Inf,33)'        }    53.507
    {'CustAge'   }    {'[33,37)'          }    55.798
    {'CustAge'   }    {'[37,40)'          }    59.646
    {'CustAge'   }    {'[40,45)'          }    66.868
    {'CustAge'   }    {'[45,48)'          }    79.013
    {'CustAge'   }    {'[48,58)'          }    80.326
    {'CustAge'   }    {'[58,Inf]'         }    97.559
    {'CustAge'   }    {'<missing>'        }       NaN
    {'ResStatus' }    {'Tenant'           }    62.161
    {'ResStatus' }    {'Home Owner'       }    73.305
    {'ResStatus' }    {'Other'            }    90.777
    {'ResStatus' }    {'<missing>'        }       NaN
    {'EmpStatus' }    {'Unknown'          }    58.846
    {'EmpStatus' }    {'Employed'         }    86.887
    {'EmpStatus' }    {'<missing>'        }       NaN
    {'CustIncome'}    {'[-Inf,29000)'     }    29.906
    {'CustIncome'}    {'[29000,33000)'    }    56.219
    {'CustIncome'}    {'[33000,35000)'    }    67.938
    {'CustIncome'}    {'[35000,40000)'    }    70.123
    {'CustIncome'}    {'[40000,42000)'    }    70.931
    {'CustIncome'}    {'[42000,47000)'    }      82.3
    {'CustIncome'}    {'[47000,Inf]'      }    96.647
    {'CustIncome'}    {'<missing>'        }       NaN
    {'TmWBank'   }    {'[-Inf,12)'        }     51.05
    {'TmWBank'   }    {'[12,23)'          }    61.018
    {'TmWBank'   }    {'[23,45)'          }    61.818
    {'TmWBank'   }    {'[45,71)'          }    92.921
    {'TmWBank'   }    {'[71,Inf]'         }    133.14
    {'TmWBank'   }    {'<missing>'        }       NaN
    {'OtherCC'   }    {'No'               }    50.806
    {'OtherCC'   }    {'Yes'              }    75.642
    {'OtherCC'   }    {'<missing>'        }       NaN
    {'AMBalance' }    {'[-Inf,558.88)'    }    89.788
    {'AMBalance' }    {'[558.88,1254.28)' }    63.088
    {'AMBalance' }    {'[1254.28,1597.44)'}    59.711
    {'AMBalance' }    {'[1597.44,Inf]'    }    49.157
    {'AMBalance' }    {'<missing>'        }       NaN

The new scorecard does not know that the data was treated, hence it assigns NaNs to the <missing> bins. If you need to score a new data set and it contains missing data, by default, the score function sets the points to NaN. To further explore the handling of missing data, take a few rows from the original data as test data and introduce some missing data.

tdata = dataTreated(11:14,mdl.PredictorNames); % Keep only the predictors retained in the model
% Set some missing values
tdata.CustAge(1) = NaN;
tdata.ResStatus(2) = '<undefined>';
tdata.EmpStatus(3) = '<undefined>';
tdata.CustIncome(4) = NaN;
disp(tdata)
    CustAge     ResStatus      EmpStatus     CustIncome    TmWBank    OtherCC    AMBalance
    _______    ___________    ___________    __________    _______    _______    _________

      NaN      Tenant         Unknown          34000         44         Yes        119.8  
       48      <undefined>    Unknown          44000         14         Yes       403.62  
       65      Home Owner     <undefined>      48000          6         No        111.88  
       44      Other          Unknown            NaN         35         No        436.41  

Score the new data and see how points are set to NaN, which leads to NaN scores.

[Scores,Points] = score(scTreated,tdata);
disp(Scores)
   NaN
   NaN
   NaN
   NaN
disp(Points)
    CustAge    ResStatus    EmpStatus    CustIncome    TmWBank    OtherCC    AMBalance
    _______    _________    _________    __________    _______    _______    _________

       NaN      62.161       58.846        67.938      61.818     75.642      89.788  
    80.326         NaN       58.846          82.3      61.018     75.642      89.788  
    97.559      73.305          NaN        96.647       51.05     50.806      89.788  
    66.868      90.777       58.846           NaN      61.818     50.806      89.788  

To assign points to missing data, one possibility is to use the name-value pair argument 'Missing' in formatpoints to choose how to assign points to missing values.

Use the 'MinPoints' option for the 'Missing' argument. This option assigns the minimum number of possible points in the scorecard to the missing data. In this example, the minimum number of possible points for CustIncome is 29.906, so the last row in the table gets 29.906 points for the missing CustIncome value.

scTreated = formatpoints(scTreated,'Missing','MinPoints');
[Scores,Points] = score(scTreated,tdata);
disp(Scores)
  469.7003
  510.0812
  518.0013
  448.8099
disp(Points)
    CustAge    ResStatus    EmpStatus    CustIncome    TmWBank    OtherCC    AMBalance
    _______    _________    _________    __________    _______    _______    _________

    53.507      62.161       58.846        67.938      61.818     75.642      89.788  
    80.326      62.161       58.846          82.3      61.018     75.642      89.788  
    97.559      73.305       58.846        96.647       51.05     50.806      89.788  
    66.868      90.777       58.846        29.906      61.818     50.806      89.788  

However, for predictors treated in the training data, such as CustAge, the effect of the 'Missing' argument is inconsistent with the treatment of the training data. For example, for CustAge, the first observation gets 53.507 points for the missing value, yet if the new data were "treated," and the missing value for CustAge were replaced with the mode of the training data (age of 43), this observation falls in the [40,45) bin and receives 66.868 points.

Therefore, before scoring, data sets must be treated the same way the training data was treated. The use of the 'Missing' argument is still important to assign points for untreated predictors and the treated predictors receive points in a way that is consistent with the way the model was developed.

tdataTreated = tdata;
tdataTreated.CustAge = fillmissing(tdataTreated.CustAge,'constant',modeCustAge);
tdataTreated.ResStatus = fillmissing(tdataTreated.ResStatus,'constant',string(modeResStatus));
disp(tdataTreated)
    CustAge    ResStatus      EmpStatus     CustIncome    TmWBank    OtherCC    AMBalance
    _______    __________    ___________    __________    _______    _______    _________

      43       Tenant        Unknown          34000         44         Yes        119.8  
      48       Home Owner    Unknown          44000         14         Yes       403.62  
      65       Home Owner    <undefined>      48000          6         No        111.88  
      44       Other         Unknown            NaN         35         No        436.41  
[Scores,Points] = score(scTreated,tdataTreated);
disp(Scores)
  483.0606
  521.2249
  518.0013
  448.8099
disp(Points)
    CustAge    ResStatus    EmpStatus    CustIncome    TmWBank    OtherCC    AMBalance
    _______    _________    _________    __________    _______    _______    _________

    66.868      62.161       58.846        67.938      61.818     75.642      89.788  
    80.326      73.305       58.846          82.3      61.018     75.642      89.788  
    97.559      73.305       58.846        96.647       51.05     50.806      89.788  
    66.868      90.777       58.846        29.906      61.818     50.806      89.788