基于Z-Score指标决策树的财务风险预警模型研究

Abstract

财务风险预警模型是预测财务危机的主要手段之一。Z分数模型以其公式严谨、可操作性强等特点，被广泛应用。然而，Z分数模型是否适用于预警中国企业的财务危机仍存在争议。为此，归集了沪市上市公司2007~2013年的财务报表数据，实证发现ST公司与非ST公司的Z值线性不可分。揭示了：本质上为线性区分方法的Z分数模型存在局限性。因此，利用Z分数模型原有指标，提出了基于决策树的财务风险预警模型，解决Z分数模型失效问题。实证研究表明：所提出的预警模型提前3年预测ST公司财务危机的准确率达75.37%，提前1年预测的准确率达95.45%。 Financial risk early warning model is one of the primary means of forecasting financial crisis. Z-score model has been applied widely since it has precise formula and good practicability. However, as regard to the adequacy of using Z-score model to forecast financial crisis for domestic companies, there is a dispute. Therefore, we collect financial statements data from 2007-2013 of Shanghai listed companies, and prove that Z scores between ST companies and non-ST companies are linearly inseparable. It reveals that Z-score model with linear separable principle in nature, has its own limitation. Hence, this paper brings up a financial risk early warning model of decision tree based on Z-score indicators and it solves the problem of Z-score model. The empirical research shows that the decision model given by this paper can forecast financial crisis three years before it happens with 75.37% accuracy, and with 95.45% accuracy one year ahead of crisis occurance.