风险分值算法描述.doc

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1、风险分值算法描述（V1.0）上海华腾软件系统有限公司2012年11月12日目录1.基本规则模型31.1.单参数类规则模型31.2.多参数类规则模型72.行为习惯规则模型92.1.单参数类规则模型92.2.相关统计量计算方法141.基本规则模型1.1.单参数类规则模型对于一条单参数类的基本规则模型，其在前台需要维护的信息包括：符号维护信息项信息项描述ϴ触发规则的指标阈值当交易发生时的属性指标值超过该设定阈值后，该条规则才被触发，否则交易不触发该条规则，规则风险得分为0分A触发规则后的起始分值当交易发生时的属性指标值等于规则设定阈值，即规则刚刚满足触发条件时，该条规则获得的

2、风险得分起始分值B触发规则后的最高分值当交易发生时的属性指标值远远超过规则设定阈值时，该条规则所获得的风险得分的最大可能分值α浮动分值调节参数当交易发生时的属性指标值介于超过规则阈值与远远超过规则设定阈值之间时，根据浮动分值调节参数来调整在起始分值基础上增加浮动分值直至最高分值的递增速率对于单参数类规则模型的风险得分计算公式为：其中X为当前交易发生时的属性指标值，根据上述公式，当X超过ϴ阈值并触发该条预警规则之后，根据X超过ϴ的倍数，最终得分逐步逼近该条预警规则的最高分值。即最终得分=规则基础得分+（规则最高得分-规则基础得分）*浮动得分增加的速率例如：设定α=0.1～

3、0.8时，当前交易发生时的属性指标值超过ϴ不同的倍数时，规则浮动得分增加的速率如下表所示：(X-ϴ)/ϴα=0.1α=0.2α=0.3α=0.4α=0.5α=0.80.00.0000.0000.0000.0000.0000.0000.50.9780.9090.7950.6520.5000.1351.00.9890.9520.8860.7890.6670.2381.50.9930.9680.9210.8490.7500.3192.00.9940.9760.9400.8820.8000.3852.50.9960.9800.9510.9040.8330.4393.00.996

4、0.9840.9590.9180.8570.4843.50.9970.9860.9650.9290.8750.5224.00.9970.9880.9690.9380.8890.5564.50.9980.9890.9720.9440.9000.5845.00.9980.9900.9750.9490.9090.6105.50.9980.9910.9770.9540.9170.6326.00.9980.9920.9790.9570.9230.6526.50.9980.9920.9810.9610.9290.6707.00.9980.9930.9820.9630.9330.68

5、67.50.9990.9930.9830.9660.9380.7018.00.9990.9940.9840.9680.9410.7148.50.9990.9940.9850.9700.9440.7269.00.9990.9940.9860.9710.9470.7389.50.9990.9950.9870.9730.9500.74810.00.9990.9950.9870.9740.9520.75810.50.9990.9950.9880.9750.9550.76611.00.9990.9950.9880.9760.9570.77511.50.9990.9960.9890

6、.9770.9580.78212.00.9990.9960.9890.9780.9600.78912.50.9990.9960.9900.9790.9620.79613.00.9990.9960.9900.9800.9630.80213.50.9990.9960.9910.9810.9640.80814.00.9990.9960.9910.9810.9660.81414.50.9990.9970.9910.9820.9670.81915.00.9990.9970.9920.9830.9680.82415.50.9990.9970.9920.9830.9690.82916

7、.00.9990.9970.9920.9840.9700.83316.50.9990.9970.9920.9840.9710.83817.00.9990.9970.9920.9850.9710.84217.50.9990.9970.9930.9850.9720.84518.00.9990.9970.9930.9850.9730.84918.50.9990.9970.9930.9860.9740.85319.00.9990.9970.9930.9860.9740.85619.50.9990.9970.9930.9870.9750.85920