基于Z-Score指标决策树的财务风险预警模型研究  

Financial Risk Early Warning Model of Decision Tree Research Based on Z-Score Indicators

作　　者：杨蕴毅 孙中和 卢靖 

机构地区：[1]审计署计算机技术中心,北京

出　　处：《现代管理》2017年第5期185-193,共9页Modern Management

基　　金：国家科技支撑计划项目《面向国家审计“免疫系统”的审计模拟与仿真平台研发及应用示范》(批准号:2012BAH08B02);国家自然科学基金项目《基于社会计算的社会保障国家审计政策功能研究》(批准号:71272216)。

摘　　要：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.

关 键 词：财务风险预警 Z-SCORE 决策树 

分 类 号：F2[经济管理—国民经济]