Aug 2026· Journal of Risk and Financial Management· Vol 19, pp. 652· 0 citations· 27 references
Abstract
Machine-learning models for SME failure prediction frequently report strong results that do not survive rigorous evaluation. Using a firm–year panel of 3796 Thai food-and-beverage SMEs (15,018 firm–years, 258 dissolution events, prevalence 1.72%) drawn from the Department of Business Development records for 2020–2024, this study develops a leakage-aware temporal machine-learning framework for predicting registered business dissolution within a 12-month horizon and decomposes two sources of performance inflation that the literature typically conflates. Entity leakage from ungrouped cross-validation inflates ROC-AUC by 0.085 and PR-AUC by 0.099—a pure protocol effect. Replacing static firm-level labels with event-based labels changes the estimand rather than the accuracy: prevalence falls from 5.79% to 1.72% and PR-AUC from 0.152 to 0.090 even as ROC-AUC rises. Under the corrected design, gradient boosting with temporal features attains ROC-AUC 0.833 and the strongest precision–recall performance, with ratio volatility and year-on-year change as the leading predictive dimensions. Isotonic recalibration reduces expected calibration error from 0.081 to 0.022, supporting risk ranking and budget-constrained triage, and a break-even analysis translates model output into deployment conditions for supervisory review budgets. The framework provides a transferable template for the honest evaluation of early-warning models on administrative panels in emerging markets.
Concept drift is a continuing challenge in risk modelling for Small and Medium Enterprise (SME) loans, as default patterns change significantly during economic downturns. Most current studies use Random K-Fold validation, which leaks future data into the training and overestimates the performance metrics. To this end,...
Arif Bagus Wibowo, Calvin Richie Engolodoe, Fadhel Adrian Hakim et al.· 2026 International Conferenc...· 0 citations
Credit default prediction is a standard risk-management task, and large language models (LLMs) have been proposed as prompt-based alternatives, without task-specific parameter updating, for institutions that cannot deploy full machine learning (ML) pipelines. This study evaluates the Informed GPT on Colombian solidarit...
Javier André Ferro Pérez, M. Arias-Serna, J. Quiza-Montealegre· Journal of Risk and Financia...· 0 citations
Frequent market instability and the lack of rigorously validated forecasting frameworks pose significant challenges for predicting market stress in the Dhaka Stock Exchange (DSE). This study proposes a leakage-safe machine learning framework for next-day market stress prediction using historical trading data from 2008...
Md Sadman Haque, Mohammad Sameer Ahmed, Md Tasfikur Rahman et al.· Discover Artificial Intellig...· 0 citations
This research compares the effectiveness of machine-learning and traditional statistical techniques in predicting annual credit rating downgrades for Thai non-financial firms listed on the Stock Exchange of Thailand during 2018–2023, using a time-ordered train-validation-test framework for predictive model evaluation....
Jiroj Buranasiri, Prajya Ngamjan, Nuttawaree Ratchpiboon· The Economics and Finance Le...· 0 citations
Covariate-Adjusted Residual Policy Learning (CAR-PL) is introduced, an action-wise R-learner that operates directly on multi-hot logs and regularizes selection by observational support and support objective-specific ranking of SMB financial guidance from multi-action accounting logs.
Shrutendra Harsola, Vignesh T. Subrahmaniam, Vikas Raturi et al.· 0 citations
By moving the analytical focus from terminal churn to earlier fund migration, the proposed approach provides a practical foundation for proactive, explainable, and economically informed client-retention decision support.
Ananyaa Chopra, Brandon Xu, Brendan Yuen et al.· 0 citations
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