مدل نمره z درباره هشدار بحران مالی شرکت های فهرست شده دارایی واقعی در چین: یک چشم انداز مهندسی مالی

Financial engineers developed quantitative models that help firms making financial decisions in the face of risk and uncertainty. Z-score model is one of the most frequently used risk early warning models in financial engineering, but it needs further research to prove whether it is suitable for China's burgeoning real estate enterprises. The financial data of China's 40 listed real estate companies is processed in this article, and statistic analysis is conducted, so as to judge the effectiveness of Z-score model on financial risk early warning of China's listed real estate companies.

The development of real estate industry, which is the pillar industry of China’s national economy, has a strong influence on the operation of the entire national economy. In recent years, China’s real estate industry has experienced an unprecedented period of rapid development. Considering the immaturity of the real estate market, the government has taken measures to regulate and control the real estate market on many occasions, especially after the second half of 2010, when our country launched a series of strict adjustment and control policies. At the same time, due to tight monetary policies, a large number of real estate enterprises are facing tension and even rupture of the capital chain and are very likely to suffer financial crisis. Listed real estate companies have basically represented the development of this industry in China. Therefore, the research over the financial crisis early warning of listed real estate companies is of great significance for studying the development of China’s real estate industry. Scholars in industrial engineering and management sciences focused on the prediction models using in financial risk. To consider the risk of the entire portfolio, an institution must take into account comparing several models and choosing the proper one. In right time，accurate carrying on pre-warning analysis to enterprise’s financial affairs is the objective requirement for the market competition system，it is the essential guarantee of enterprise’s survival and development too. The research on financial crisis early warning model has experienced many years of development, from early research on model construction to the research specific to the practical financial crisis early warning model construction of Chinese enterprises [1], and then to explore the financial crisis early warning model that is suitable for the industry.

The above empirical analysis indicates that in financial engineering field Z-score model is suitable for early warning of China’s listed real estate companies to some extent, but the accuracy rate of its prediction is lower than 90%, which is not very high. There are two reasons why its accuracy rate is not high enough. Firstly, due to the difference between China and US securities markets, the model established with the financial data of listed UScompanies is not very suitable for the research of financial early warning system of China’s listed companies; secondly, Z-score early warning model established by professor Altman fits listed nonmanufacturing companies, but those listed nonmanufacturing companies, which cover many different industries, have not been classified in a detailed way, so this model has very low practicality. Many enterprises have faced crisis after global financial crisis in which many risk models broke down, it should be better to figure out how to create better risk prediction models in the perspective of financial engineering.