Chance discovery in credit risk management: time order method and directed KeyGraph for estimation of chain reaction bankruptcy structure

Authors:
Shinichi Goda;Yukio Ohsawa
Affiliations:
School of Engineering, The University of Tokyo, Japan;School of Engineering, The University of Tokyo, Japan
Venue:
JSAI'07 Proceedings of the 2007 conference on New frontiers in artificial intelligence
Year:
2007

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Abstract

In this article, chance discovery method is applied to estimate chain reaction bankruptcy structure. Risk of default can be better forecasted by taking chain reaction effect into accont. Time order method and directed KeyGraph are newly introduced to distinguish and express the time order among defaults that is essential information for the analysis of chain reaction bankruptcy. The steps for the data analysis are introduced and result of example analysis with default data in Kyushu, Japan, 2005 is presented.