A Path-Based Feature Selection Algorithm for Enterprise Credit Risk Evaluation

In recent years, there has been increasing interest in exploring diversified features to measure small and medium-sized enterprises (SMEs) credit risk. Path-based features, revealing logical connections between SMEs, are widely adopted as informative feature kinds for causal inference in credit risk evaluation. Since there may exist thousands of feature paths to the target enterprise, to evaluate its credit risk, how to select the most informative path-based features becomes a challenging problem. To solve the problem, in this paper, we propose a novel method of feature selection, considering both similarity and importance on features' structured semantics as the factors of informativeness. With this, the proposed method can effectively rank both conventional and path-based features together. Furthermore, to improve the efficiency of the method, a heuristic algorithm is proposed to fast search for the candidate features. Through extensive experiments, we show our method performs competitively with other state-of-the-art selection methods.