Combining intra-risk and contagion risk for enterprise bankruptcy prediction using graph neural networks

Abstract

Predicting the bankruptcy risk of small and medium-sized enterprises (SMEs) is crucial for 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 an enterprise knowledge graph for its contagion risk embedding. In particular, the contagion risk encoder includes both the newly proposed Heterogeneous Hyper-Graph Neural Networks (HHGNN) and Hierarchical Graph Transformer Networks (HGTN). Using these two types of encoders, we design a unified framework to simultaneously capture intra-risk and contagion risk for bankruptcy prediction. 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.