Chance discovery in credit risk management: estimation of chain reaction bankruptcy structure by directed keygraph

Authors:
Shinichi Goda;Yukio Ohsawa
Affiliations:
School of Engineering, The University of Tokyo, Japan;School of Engineering, The University of Tokyo, Japan
Venue:
IEA/AIE'07 Proceedings of the 20th international conference on Industrial, engineering, and other applications of applied intelligent systems
Year:
2007

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Abstract

Credit risk management based on portfolio theory becomes popular in recent Japanese financial industry. But consideration and modeling of chain reaction bankruptcy effect in credit portfolio analysis leave much room for improvement. That is mainly because method for grasping relations among companies with limited data is underdeveloped. In this article, chance discovery method with directed KeyGraph is applied to estimate industrial relations that are to include companies' relations that transmit chain reaction of bankruptcy. The steps for the data analysis are introduced and result of example analysis with default data in Kyushu, Japan, 2005 is presented.