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 ：审计署计算机技术中心，北京;
关键词: 财务风险预警； Z-score； 决策树； Financial Risk Early Warning； Z-Score； Decision Tree
摘要:Abstract: 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.
文章引用: 杨蕴毅 , 孙中和 , 卢 靖 (2017) 基于Z-Score指标决策树的财务风险预警模型研究。 现代管理， 7， 185-193. doi: 10.12677/MM.2017.75026
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