Prediction of Bank Credit Ratings using Heterogeneous Topological Graph Neural Networks
This work addresses a domain-specific problem for investors and regulatory bodies by providing more accurate and timely predictions to support risk mitigation and market interventions, though it is incremental as it builds on existing GNN methods with a novel network construction approach.
The paper tackles the problem of predicting bank credit ratings when a complete interbank connection graph is unavailable due to privacy concerns, by using persistent homology to construct a network and combining it with a traditional lending network into a heterogeneous topological graph neural network (HTGNN), which improves predictions as validated on a global, real-world dataset.
Agencies such as Standard & Poor's and Moody's provide bank credit ratings that influence economic stability and decision-making by stakeholders. Accurate and timely predictions support informed decision-making, regulatory actions, and investor protection. However, a complete interbank connection graph is often unavailable due to privacy concerns, complicating the direct application of Graph Neural Networks (GNNs) for rating prediction. our research utilizes persistent homology to construct a network that captures relationships among banks and combines this with a traditional lending network to create a heterogeneous network that integrates information from both sources, leading to improved predictions. Experiments on a global, real-world dataset validate the effectiveness of HTGNN. This research has implications for investors and regulatory bodies in enhancing proactive risk mitigation and the implementation of effective market interventions.The code can be find at https://github.com/Liu-Jun-Yi/HTGNN.