English

Evolution of Credit Risk Using a Personalized Pagerank Algorithm for Multilayer Networks

Social and Information Networks 2020-08-24 v2 Machine Learning Physics and Society Machine Learning

Abstract

In this paper we present a novel algorithm to study the evolution of credit risk across complex multilayer networks. Pagerank-like algorithms allow for the propagation of an influence variable across single networks, and allow quantifying the risk single entities (nodes) are subject to given the connection they have to other nodes in the network. Multilayer networks, on the other hand, are networks where subset of nodes can be associated to a unique set (layer), and where edges connect elements either intra or inter networks. Our personalized PageRank algorithm for multilayer networks allows for quantifying how credit risk evolves across time and propagates through these networks. By using bipartite networks in each layer, we can quantify the risk of various components, not only the loans. We test our method in an agricultural lending dataset, and our results show how default risk is a challenging phenomenon that propagates and evolves through the network across time.

Keywords

Cite

@article{arxiv.2005.12418,
  title  = {Evolution of Credit Risk Using a Personalized Pagerank Algorithm for Multilayer Networks},
  author = {Cristián Bravo and María Óskarsdóttir},
  journal= {arXiv preprint arXiv:2005.12418},
  year   = {2020}
}

Comments

Conference camera-ready paper - accepted at KDD MLF 2020. 15 pages, 10 figures

R2 v1 2026-06-23T15:48:20.932Z