Abstract

Effective identification of corporate default risk is crucial for maintaining financial stability and safeguarding investors’ interests. Existing models remain limited in addressing class imbalance and the dynamic evolution of default-related features over time. To overcome these challenges, we propose an adaptive spherical neighborhood resampling and class-specific reliability evidential reasoning model (ASNR-crER). By combining feature-weighted minority sample reconstruction with reliability-guided recursive evidence fusion, the proposed model aims to improve the prediction accuracy of both default and non-default firms under class imbalance. This study uses Chinese listed small enterprises from 2000 to 2023 as the research sample, comprising 10,449 firm-year observations from 2182 firms. By matching default status in year t with firm indicators from t-0 to t-5, six rolling prediction windows are constructed. The empirical results show that: (1) Compared with mainstream benchmark methods, ASNR-crER achieves the best overall performance in terms of accuracy, AUC, and F1 across all prediction windows, indicating that it can more reliably identify high-risk default firms while maintaining strong recognition of non-default firms. (2) SHAP analysis indicates that financial, non-financial, and macroeconomic indicators exert time-varying effects on corporate default risk. Financial indicators, including “Retained earnings/total assets”, “Other receivables/current assets”, and “Annualized return on assets”, reflect internal capital accumulation and profitability, serving as key predictors of default risk. Non-financial indicators, such as “Top 10 Tradable Shares H-index” and “Top 10 shareholders H-index”, can provide supplementary signals for medium-term risk identification. Macroeconomic indicators, including “M2 YoY growth rate”, “Urban HH per capita income”, and “Benchmark short-term loan rate”, show stronger explanatory power in longer prediction windows. Therefore, this study provides an effective early-warning tool for financial institutions and relevant stakeholders to identify high-risk firms, and enriches empirical evidence on the time-varying drivers of corporate default risk.

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