随着我国改革开放不断深入，上市公司面临着巨大机会和挑战，然而东北 三省因财务问题被纰漏的上市公司比例明显高于广东、江苏和山东等经济发达 地区，这些企业随时面临着退市的可能性，严重影响公司和东北三省健康可持 续发展。一般而言，企业财务问题逐渐积累就会形成财务风险，如果及时识别 并化解财务风险，可降低财务风险给企业带来的损失，甚至避免财务危机的形 成。因此，本文以东北三省上市企业作为财务风险预警研究的对象，并建立有 效的财务风险预警模型，为上市公司管理者和投资者提供科学的参考和建议。 本文首先回顾了财务风险预警方法和组合模型的相关研究，探讨不同预测 方法的局限性。其次，从风险管理理论和企业周期理论对企业财务风险管理进 行深入探索和研究，基于上市公司的财务风险成因进行研究。然后，分析GBDT 和Logistic回归模型在财务风险预警管理的应用，阐述GBDT和Logistic回归 相结合思路，构建基于GBDT和Logistic回归相结合的财务风险预警组合模型。 最后，采用2012至2018年东北三省上市公司财务报表数据，以被特殊处理和 财务违规处理公司为财务风险企业样本，其余企业为财务正常样本进行实证研 究，运用信息值对上市公司偿债能力、发展能力、经营能力、每股指标、盈利 能力等七个维度、39个指标进行财务风险预测能力衡量，从中筛选出26个指 标作为模型输入指标，从而对东北三省上市公司财务风险进行预测分析与模型 评价，并与经济发达地区上市公司财务风险预测结果进行横向对比讨论。 研究结果表明：GBDT和Logistic回归组合模型预测准确率为91%，明显 高于Logistic回归单一模型，证明组合模型财务风险预警的有效性；东北三省 上市公司财务风险主要表现在总资产净利润率、资本保值率等资产运营能力指 标变化，企业通过观测资产运营能力、经营能力和发展能力等指标变化，可以 早期识别财务风险。 关键词：东北三省上市公司；财务风险预警；GBDT；Logistic回归 哈尔滨工业大学管理学硕士学位论文 -II- Abstract UnderthewaveofreformandopeningupinChina,domesticlistedcompanies facemoreseverechallenges.However,therisksoflistedcompaniesinthethree northeasternprovincesduetofinancialproblemsaremuchhigherthanthoseinthe economicallyimportantprovincesinChina.Thepossibilityofseriouslyaffecting thehealthyandsustainabledevelopmentoflocalandcompanies.Generally speaking,corporatefinancialriskisagradualprocess.Identifyingfinancialrisks earlyinanenterprisecaneffectivelyavoidtheformationoffinancialcrisesand reduceoravoidlossescausedbyfinancialrisks.Therefore,studythefinancialrisk earlywarningoflistedcompaniesinthethreenortheasternprovinces,establishan effectivefinancialriskearlywarningmodel,andprovidescientificadviceand referenceforlistedcompanymanagersandinvestors. Thisarticlefirstreviewstherelevantresearchonfinancialriskearlywarning methodsandportfoliomodels,andexploresthelimitationsofdifferentforecasting methods.Secondly,fromtheriskmanagementtheoryandbusinesscycletheory, theoreticanalysisofthecompany'sfinancialriskmanagementiscarriedout,andthe causesofthelistedcompany'sfinancialriskarediscussed.Then,analyzethe applicationandapplicabilityofLogisticregressionmodelandGradientBoosting DecisionTree(GBDT)inthefieldoffinancialriskearlywarning,explainthe combinationofGBDTandLogisticregression,andbuildafinancialbasedonthe combinationofGBDTandLogisticregressionRiskearlywarningcombination model.Finally,basedonthefinancialstatementdataofthelistedcompaniesinthe threenortheasternprovincesfrom2012to2018,thecompanywastreatedasa sampleoffinancialriskcompanieswithspecialtreatmentandfinancialviolations, andtheremainingcompanieswerenormalfinancialsamplesforempiricalresearch. Theinformationvaluewasusedtosolvethedebtsolvency,39indicatorsofsix dimensionsincludingdevelopmentability,operationability,profitability,etc.were usedtoevaluatefinancialriskpredictionability,andthen26indicatorswere selectedasmodelinputindicators,soastopredictandanalyzethefinancialriskof listedcompaniesinthethreenortheasternprovincesandmodelevaluation.The financialriskpredictionresultsoflistedcompaniesineconomicallydeveloped regionsarediscussedhorizontally. TheresearchresultsshowthatthecombinedpredictionaccuracyoftheGBDT andLogisticregressioncombinedmodelis91%,whichissignificantlyhigherthan thatofthelogisticregressionsinglemodel,whichprovestheeffectivenessofthe combinedmodelfinancialriskwarning;thefinancialrisksoflistedcompaniesin 哈尔滨工业大学管理学硕士学位论文 -III- thethreenortheasternprovincesaremainlyreflectedinthetotalassetnetprofit margin,Changesinindicatorsofassetoperationcapabilitysuchascapital preservationrate,andenterprisescanidentifyfinancialrisksearlybyobserving changesinindicatorssuchasassetoperationcapability,operationcapabilityand developmentcapability. Keywords:Listedcompaniesinthethreenortheastprovinces;financialrisk warning;GBDT;Logisticregression 哈尔滨工业大学管理学硕士学位论文 -IV- 目录 摘要...............................................................................................................................I Abstract............................................................................................................................II 第1章绪论................................................................................................................1 1.1研究背景与问题提出..........................................................................................1 1.1.1研究背景...............................................................................................1 1.1.2问题的提出...........................................................................................2 1.2研究目的与意义..................................................................................................2 1.2.1研究目的...............................................................................................2 1.2.2研究意义...............................................................................................2 1.3国内外研究现状..................................................................................................3 1.3.1财务风险预警研究现状......................................................................3 1.3.2财务风险预警组合模型研究现状.....................................................7 1.3.3国内外研究现状...................................................................................8 1.4主要研究内容与研究方法..................................................................................9 1.4.1研究的主要内容...................................................................................9 1.4.2研究方法.............................................................................................10 1.4.3技术路线.............................................................................................12 第2章财务风险预警的相关理论............................................................................13 2.1财务风险预警系统............................................................................................13 2.1.1财务风险和财务危机界定................................................................13 2.1.2财务风险表现.....................................................................................13 2.1.3财务风险原因分析............................................................................15 2.1.4财务风险预警功能............................................................................17 2.2财务风险预警相关理论....................................................................................18 2.2.1风险管理理论.....................................................................................18 2.2.2企业生命周期理论............................................................................19 2.3财务风险预警方法............................................................................................20 哈尔滨工业大学管理学硕士学位论文 -V- 2.3.1Logistic回归模型...............................................................................20 2.3.2GBDT模型..........................................................................................22 2.4本章小节.............................................................................................................24 第3章基于GBDT和Logistic回归的财务风险预警模型的构建......................25 3.1模型构建方法................................................................................