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A hybrid approach for risk assessment of loan guarantee network

Zhibin Niu, Dawei Cheng, Junchi Yan, Jiawan Zhang, Liqing Zhang and Hongyuan Zha

Papers from arXiv.org

Abstract: Groups of Small and Medium Enterprises (SME) back each other and form guarantee network to obtain loan from banks. The risk over the networked enterprises may cause significant contagious damage. To dissolve such risks, we propose a hybrid feature representation, which is feeded into a gradient boosting model for credit risk assessment of guarantee network. Empirical study is performed on a ten-year guarantee loan record from commercial banks. We find that often hundreds or thousands of enterprises back each other and constitute a sparse complex network. We study the risk of various structures of loan guarantee network, and observe the high correlation between defaults with centrality, and with the communities of the network. In particular, our quantitative risk evaluation model shows promising prediction performance on real-world data, which can be useful to both regulators and stakeholders.

New Economics Papers: this item is included in nep-ban and nep-cdm
Date: 2017-02
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