2007 | OriginalPaper | Buchkapitel
Chance Discovery in Credit Risk Management
Estimation of Chain Reaction Bankruptcy Structure by Directed KeyGraph
verfasst von : Shinichi Goda, Yukio Ohsawa
Erschienen in: New Trends in Applied Artificial Intelligence
Verlag: Springer Berlin Heidelberg
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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.