Dual Pairwise Pre-training and Prompt-tuning with Aligned Prototypes for Interbank Credit Rating

In the global financial market, assessing bank credit ratings is essential for evaluating financial health, managing risk, and safeguarding systemic stability. While risk can transmit rapidly within the interbank lending network, timely incorporation of the latest financial disclosures to update bank ratings is vital in the swiftly evolving financial markets. However, existing approaches primarily conduct credit rating tasks using end-to-end models trained on historical financial data, thereby overlooking the staggered timing of financial disclosure from banks. Limited excavation of the credit rating records and the temporal distribution shifts existed in different financial periods still pose challenges to improving the accuracy of the credit rating tasks. To address these challenges, in this work we propose a Dual Pairwise pre-training and prompt Tuning framework with Aligned Prototypes (DPTAP) for interbank credit rating, which enables dynamic credit updates. Specifically, the dual pairwise pre-training strategy allows the framework to capture direction and distance discrepancies between rating categories. To alleviate the adverse impact of temporal distribution shifts in quarters, the latest financial features are prompted to dynamically map the patterns of the corresponding banks in the last quarter. Furthermore, we integrate rating guides from two consecutive quarters into a set of aligned prototypes to enhance supervision during the prompt tuning process. We conducted extensive experiments on a real-world bank dataset globally in the latest 8 years. The results demonstrate the superiority of our proposed framework over various competitive models, highlighting its notable capabilities in early warning and risk contagion forecasting.