[논문]Experimental Analysis of Bankruptcy Prediction with SHAP framework on Polish Companies

Tuguldur Enkhtuya; Dae-Ki Kang

doi:10.7236/ijasc.2023.12.1.53

[국내논문] Experimental Analysis of Bankruptcy Prediction with SHAP framework on Polish Companies 원문보기

International journal of advanced smart convergence, v.12 no.1, 2023년, pp.53 - 58

Tuguldur Enkhtuya (Department of Computer Engineering, Dongseo University) , Dae-Ki Kang (Department of Computer Engineering, Dongseo University)

Abstract ▼ AI-Helper

With the fast development of artificial intelligence day by day, users are demanding explanations about the results of algorithms and want to know what parameters influence the results. In this paper, we propose a model for bankruptcy prediction with interpretability using the SHAP framework. SHAP (SHAPley Additive exPlanations) is framework that gives a visualized result that can be used for explanation and interpretation of machine learning models. As a result, we can describe which features are important for the result of our deep learning model. SHAP framework Force plot result gives us top features which are mainly reflecting overall model score. Even though Fully Connected Neural Networks are a "black box" model, Shapley values help us to alleviate the "black box" problem. FCNNs perform well with complex dataset with more than 60 financial ratios. Combined with SHAP framework, we create an effective model with understandable interpretation. Bankruptcy is a rare event, then we avoid imbalanced dataset problem with the help of SMOTE. SMOTE is one of the oversampling technique that resulting synthetic samples are generated for the minority class. It uses K-nearest neighbors algorithm for line connecting method in order to producing examples. We expect our model results assist financial analysts who are interested in forecasting bankruptcy prediction of companies in detail.

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표/그림 (4)

그림 Figure 1. Fully Connected Neural Network
그림 Figure 2. SHAP Force plot
표 Table 1. Performance metrics
표 Table 2. Feature details

참고문헌 (14)

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