Graph neural network with self-attention and multi-task learning for credit default risk prediction

• Main Authors: LI, Zihao, WANG, Xianzhi, YAO, Lina, CHEN, Yakun, XU, Guandong, LIM, Ee-peng
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2022
• Subjects: Credit default risk prediction; Graph neural network; Self-attention; Multi-task learning; Databases and Information Systems; Graphics and Human Computer Interfaces; Numerical Analysis and Scientific Computing
• Online Access: https://ink.library.smu.edu.sg/sis_research/7515; https://doi.org/10.1007/978-3-031-20891-1_44
• Institution: Singapore Management University

We propose a graph neural network with self-attention and multi-task learning (SaM-GNN) to leverage the advantages of deep learning for credit default risk prediction. Our approach incorporates two parallel tasks based on shared intermediate vectors for input vector reconstruction and credit default...