jspoelstra

jspoelstra

# Utility function to use within AzureML for calculating useful account-level performance metrics
# for transaction fraud detection models. Each metric is calculated as a function of the score-cutoff
# used. These include:
#
#   Account Detection Rate (ADR): what fraction of the fraud accounts received a score above the 
#                                 threshold at some point after the fraud started
#   Value Detection Rate (VDR):   From the point in time that the fist transaction scored above 
#                                 the threshold, what fraction of the losses could have been prevented.
#
# This code specifically calculates the effect of delayed action: it will calculate VDR for various scenarios,