Multilayer Network Analysis for Improved Credit Risk Prediction
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Abstract (arXiv)
We present a multilayer network model for credit risk assessment. Our model accounts for multiple connections between borrowers (such as their geographic location and their economic activity) and allows for explicitly modelling the interaction between connected borrowers. We develop a multilayer personalized PageRank algorithm that allows quantifying the strength of the default exposure of any borrower in the network. We test our methodology in an agricultural lending framework, where it has been suspected for a long time default correlates between borrowers when they are subject to the same structural risks. Our results show there are significant predictive gains just by including centrality multilayer network information in the model, and these gains are increased by more complex information such as the multilayer PageRank variables. The results suggest default risk is highest when an individual is connected to many defaulters, but this risk is mitigated by the size of the neighbourhood of the individual, showing both default risk and financial stability propagate throughout the network.
Key facts. Cited by 8 papers in the map (data through 7 Oct 2026). First posted on arXiv 19 Oct 2020.
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Citing papers per year: 2021: 1; 2022: 1; 2023: 1; 2024: 2; 2025: 1; 2026: 2.
8 papers.
- 2024Attention-based Dynamic Multilayer Graph Neural Networks for Loan Default Predictioncited by 5
- 2021On the combination of graph data for assessing thin-file borrowers' creditworthinesscited by 4
- 2022Influencer Detection with Dynamic Graph Neural Networkscited by 3
- 2026Foundation Models for Credit Risk Prediction: A Game Changer?cited by 2
- 2023INFLECT-DGNN: Influencer Prediction with Dynamic Graph Neural Networkscited by 1
- 2024Large-scale Time-Varying Portfolio Optimisation using Graph Attention Networkscited by 1
- 2025A Multimodal Approach to SME Credit Scoring Integrating Transaction and Ownership Networkscited by 0
- 2026Communicating Credit Risk with Large Language Models: Evaluation of Explanations from Standard and Alternative Data-Based Modelscited by 0
- 2026Communicating Credit Risk with Large Language Models: Evaluation of Explanations from Standard and Alternative Data-Based Models18 Aug 2026
- 2026Foundation Models for Credit Risk Prediction: A Game Changer?18 May 2026
- 2025A Multimodal Approach to SME Credit Scoring Integrating Transaction and Ownership Networks10 Oct 2025
- 2024Large-scale Time-Varying Portfolio Optimisation using Graph Attention Networks22 Jul 2024
- 2024Attention-based Dynamic Multilayer Graph Neural Networks for Loan Default Prediction1 Feb 2024
- 2023INFLECT-DGNN: Influencer Prediction with Dynamic Graph Neural Networks16 Jul 2023
- 2022Influencer Detection with Dynamic Graph Neural Networks15 Nov 2022
- 2021On the combination of graph data for assessing thin-file borrowers' creditworthiness26 Nov 2021