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.
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Goda, S., Ohsawa, Y. (2007). Chance Discovery in Credit Risk Management. In: Okuno, H.G., Ali, M. (eds) New Trends in Applied Artificial Intelligence. IEA/AIE 2007. Lecture Notes in Computer Science(), vol 4570. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-73325-6_89
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DOI: https://doi.org/10.1007/978-3-540-73325-6_89
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-73322-5
Online ISBN: 978-3-540-73325-6
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