Heterogeneous Graph Pre-training Based Model for Secure and Efficient Prediction of Default Risk Propagation among Bond Issuers

• URL: http://arxiv.org/abs/2501.03268v1
• Date: Sat, 04 Jan 2025 11:10:16 GMT
• Title: Heterogeneous Graph Pre-training Based Model for Secure and Efficient Prediction of Default Risk Propagation among Bond Issuers
• Authors: Xurui Li, Xin Shan, Wenhao Yin, Haijiao Wang,
• Abstract summary: We present a novel two-stage model for efficient prediction of default risk for bond-issuing enterprises. In the first stage, we employ an innovative Masked Autoencoders for Heterogeneous Graph (HGMAE) to pre-train on a vast enterprise knowledge graph. In the second stage, a specialized classifier model is trained to predict default risk propagation probabilities.
• Score: 1.737435659602194
• License:
• Abstract: Efficient prediction of default risk for bond-issuing enterprises is pivotal for maintaining stability and fostering growth in the bond market. Conventional methods usually rely solely on an enterprise's internal data for risk assessment. In contrast, graph-based techniques leverage interconnected corporate information to enhance default risk identification for targeted bond issuers. Traditional graph techniques such as label propagation algorithm or deepwalk fail to effectively integrate a enterprise's inherent attribute information with its topological network data. Additionally, due to data scarcity and security privacy concerns between enterprises, end-to-end graph neural network (GNN) algorithms may struggle in delivering satisfactory performance for target tasks. To address these challenges, we present a novel two-stage model. In the first stage, we employ an innovative Masked Autoencoders for Heterogeneous Graph (HGMAE) to pre-train on a vast enterprise knowledge graph. Subsequently, in the second stage, a specialized classifier model is trained to predict default risk propagation probabilities. The classifier leverages concatenated feature vectors derived from the pre-trained encoder with the enterprise's task-specific feature vectors. Through the two-stage training approach, our model not only boosts the importance of unique bond characteristics for specific default prediction tasks, but also securely and efficiently leverage the global information pre-trained from other enterprises. Experimental results demonstrate that our proposed model outperforms existing approaches in predicting default risk for bond issuers.

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