Unveiling the Potential of Graph Neural Networks in SME Credit Risk Assessment
This addresses credit risk assessment for small and medium enterprises, representing an incremental improvement using existing methods on new data.
This paper tackles SME credit risk assessment by constructing a graph neural network model that maps financial indicators to a tree-structured graph and achieves multi-level credit level estimation. Experimental results on real enterprise data show significant classification performance with good robustness according to ROC evaluation criteria.
This paper takes the graph neural network as the technical framework, integrates the intrinsic connections between enterprise financial indicators, and proposes a model for enterprise credit risk assessment. The main research work includes: Firstly, based on the experience of predecessors, we selected 29 enterprise financial data indicators, abstracted each indicator as a vertex, deeply analyzed the relationships between the indicators, constructed a similarity matrix of indicators, and used the maximum spanning tree algorithm to achieve the graph structure mapping of enterprises; secondly, in the representation learning phase of the mapped graph, a graph neural network model was built to obtain its embedded representation. The feature vector of each node was expanded to 32 dimensions, and three GraphSAGE operations were performed on the graph, with the results pooled using the Pool operation, and the final output of three feature vectors was averaged to obtain the graph's embedded representation; finally, a classifier was constructed using a two-layer fully connected network to complete the prediction task. Experimental results on real enterprise data show that the model proposed in this paper can well complete the multi-level credit level estimation of enterprises. Furthermore, the tree-structured graph mapping deeply portrays the intrinsic connections of various indicator data of the company, and according to the ROC and other evaluation criteria, the model's classification effect is significant and has good "robustness".