Unveiling the Potential of Graph Neural Networks in SME Credit Risk Assessment

This paper takes the graph neural network as the technical framework, integrates the intrinsic connections between enterprise financial indicators, and proposes a model for enterprise credit risk assessment. The main research work includes: Firstly, based on the experience of predecessors, we selected 29 enterprise financial data indicators, abstracted each indicator as a vertex, deeply analyzed the relationships between the indicators, constructed a similarity matrix of indicators, and used the maximum spanning tree algorithm to achieve the graph structure mapping of enterprises; secondly, in the representation learning phase of the mapped graph, a graph neural network model was built to obtain its embedded representation. The feature vector of each node was expanded to 32 dimensions, and three GraphSAGE operations were performed on the graph, with the results pooled using the Pool operation, and the final output of three feature vectors was averaged to obtain the graph's embedded representation; finally, a classifier was constructed using a two-layer fully connected network to complete the prediction task. Experimental results on real enterprise data show that the model proposed in this paper can well complete the multi-level credit level estimation of enterprises. Furthermore, the tree-structured graph mapping deeply portrays the intrinsic connections of various indicator data of the company, and according to the ROC and other evaluation criteria, the model's classification effect is significant and has good “robustness”.

1. Introduction

Enterprises, as the main participants in the market economy, especially small and medium-sized enterprises (SMEs), are increasingly important in the national economy, absorbing the largest group of employees and being an essential component of our country's economic development. The issue of corporate credit risk has always been a focus of attention in academic and financial circles. As early as in the “Basel Accord,” the prediction of corporate credit risk was elaborated and regarded as an indispensable part of financial activities. Corporate credit risk is an important part of financial risk. With the development of the commodity economy and the growth of enterprises, enterprises are no longer isolated individuals in economic activities but have become an inseparable whole with multiple enterprises in various economic activities, which has intensified the contagiousness of corporate credit risk, making the spread of financial risk more complex and diverse. If corporate credit risk is not handled properly, it is very likely to lead to systemic financial risk.