Combining Intra-Risk and Contagion Risk for Enterprise Bankruptcy Prediction Using Graph Neural Networks
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arXiv
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| Autori principali: | , , , , , , , , |
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| Natura: | Preprint |
| Pubblicazione: |
2022
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| _version_ | 1866913189122277376 |
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| author | Zhao, Yu Wei, Shaopeng Guo, Yu Yang, Qing Chen, Xingyan Li, Qing Zhuang, Fuzhen Liu, Ji Kou, Gang |
| author_facet | Zhao, Yu Wei, Shaopeng Guo, Yu Yang, Qing Chen, Xingyan Li, Qing Zhuang, Fuzhen Liu, Ji Kou, Gang |
| contents | Predicting the bankruptcy risk of small and medium-sized enterprises (SMEs) is an important step for financial institutions when making decisions about loans. Existing studies in both finance and AI research fields, however, tend to only consider either the intra-risk or contagion risk of enterprises, ignoring their interactions and combinatorial effects. This study for the first time considers both types of risk and their joint effects in bankruptcy prediction. Specifically, we first propose an enterprise intra-risk encoder based on statistically significant enterprise risk indicators for its intra-risk learning. Then, we propose an enterprise contagion risk encoder based on enterprise relation information from an enterprise knowledge graph for its contagion risk embedding. In particular, the contagion risk encoder includes both the newly proposed Hyper-Graph Neural Networks and Heterogeneous Graph Neural Networks, which can model contagion risk in two different aspects, i.e. common risk factors based on hyperedges and direct diffusion risk from neighbors, respectively. To evaluate the model, we collect real-world multi-sources data on SMEs and build a novel benchmark dataset called SMEsD. We provide open access to the dataset, which is expected to further promote research on financial risk analysis. Experiments on SMEsD against twelve state-of-the-art baselines demonstrate the effectiveness of the proposed model for bankruptcy prediction. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2202_03874 |
| institution | arXiv |
| publishDate | 2022 |
| record_format | arxiv |
| spellingShingle | Combining Intra-Risk and Contagion Risk for Enterprise Bankruptcy Prediction Using Graph Neural Networks Zhao, Yu Wei, Shaopeng Guo, Yu Yang, Qing Chen, Xingyan Li, Qing Zhuang, Fuzhen Liu, Ji Kou, Gang Risk Management Machine Learning Predicting the bankruptcy risk of small and medium-sized enterprises (SMEs) is an important step for financial institutions when making decisions about loans. Existing studies in both finance and AI research fields, however, tend to only consider either the intra-risk or contagion risk of enterprises, ignoring their interactions and combinatorial effects. This study for the first time considers both types of risk and their joint effects in bankruptcy prediction. Specifically, we first propose an enterprise intra-risk encoder based on statistically significant enterprise risk indicators for its intra-risk learning. Then, we propose an enterprise contagion risk encoder based on enterprise relation information from an enterprise knowledge graph for its contagion risk embedding. In particular, the contagion risk encoder includes both the newly proposed Hyper-Graph Neural Networks and Heterogeneous Graph Neural Networks, which can model contagion risk in two different aspects, i.e. common risk factors based on hyperedges and direct diffusion risk from neighbors, respectively. To evaluate the model, we collect real-world multi-sources data on SMEs and build a novel benchmark dataset called SMEsD. We provide open access to the dataset, which is expected to further promote research on financial risk analysis. Experiments on SMEsD against twelve state-of-the-art baselines demonstrate the effectiveness of the proposed model for bankruptcy prediction. |
| title | Combining Intra-Risk and Contagion Risk for Enterprise Bankruptcy Prediction Using Graph Neural Networks |
| topic | Risk Management Machine Learning |
| url | https://arxiv.org/abs/2202.03874 |