Research On Three-Dimensional Financial Risk Early-warning In Manufacturing Industry Listed Companies Based On Kalman Filter

Manufacturing industry is the principal part of national economy,which is foundation for building a country,developing a country and strengthening a country.Listed companies always represent advanced enterprises in the industry,which financial risks are the concentrated reflection of all risks in the process of operation,manufacturing industry as well.Traditional financial risk early warining researches mostly use statistic model and intelligence model,which can only construct model from cross section data.Besides,they only focus on static early warning from solvency,profitability and operional capability of the financial statements,and are lack of effective positioning of financial early warning.That is not conducive to the comprehensive study the financial risk early warning of the listed companies in the manufacturing industry.Therefore,it is very significant to give full consideration to the gradual process from time demesion of financial risk of manufacturing listed companies.Kalman filter model has the advantage of high accuracy in forecasting non-stationary time series data.It can be used to build financial risk early warning system considering operation,investment and financing in manufacturing listed companies.This system can analyze financial risk early warning sources,signals and position risk levels.At the end,financial risk preventions and control measures can be given.That can provide theoretical guidance and technical support for manufacturing listed companies,securities market and stakeholders.Motivated by the need of dynamic early warning,this dissertation focus on the designing three dimensions financial risk early-warning theoretical framework and using high precision of Kalman filter model to analyze time series data forecast financial risk in next time.Revolving around Kalman filter model,panel data model and system dynamics method are carried out in this dissertation.It is constructed three dimensions financial risk early warning model for manufacturing listed companies,which is referring to “three dimensions financial risk monitoring index model—three dimensions financial risk early warning index model—three dimensions financial risk early warning positioning model”.In addition,three dimensions financial risk monitoring index and three dimensions financial risk early warning index are calculated,and financial risk is positioned from operation,investment and financing demension.At the end,financial risk maps are drawn,and the countermeasures for each dimension are provided when early warning situation occurs.This dissertation develops a scientific and feasible early warning model and provides technical tool to strengthen the management of financial risks for manufacturing listed companies.The main research contents include:(1)Three dimensions financial risk monitoring index of manufacturing listed companies is constructed.By indentifying three dimensions financial risks,the financial monitoring index is designed.Meanwhile,the financial monitoring index is preprocessed by using the efficiency factor method,and its weight coefficient is obtained by using the entropy weight method.Based on linear weighting method,three dimensions financial risk monitoring index model of manufacturing listed companies is constructed.(2)Three dimensions financial risk early warning index model of manufacturing listed companies based on Kalman filter is constructed.Using the cumulative changes of the financial situation,the risk symptoms are found based on the financial risk real-time monitoring.As a result,the dynamic financial risk evolution of listed manufacturing companies can be depicted,including health,financial risk,financial crisis and bankruptcy.(3)Three dimensions financial risk early warning index of manufacturing listed companies is calculated.MATLAB M program is used to achieve financial risk early-warning calculation and visualization.Mean-square error is used to parameter identification to get most suitable covariance matrix.Manwhile,warning threshold is divided by warning level of manufacturing listed companies every period.Comparing the result of financial risk result calculated by Kalman fliter model and the actual value,we find that Kalman filter has a favourable ability of predictive and dynamic calibration,which is better than existing early-warning model.(4)Aiming at the situation of each dimension financial risk of manufacturing listed companies,prevention measures are proposed.It is draw causal diagram and flow rate diagram for operating risk,investment risk and financing risk of manufacturing listed companies,and simulated analysed the possible risk points of the different dimensions,at the same time,given the alternative precaution and control countermeasures for manufacturing listed companies.This paper studies the theory and model method of financial risk early warning in manufacturing listed companies,it contributes to the financial risk early warning in several ways.Firstly,this paper expands the dimensions of financial risk research and dynamic evaluation of financial risks early warning.Secondly,this paper provides an operable process for early warning of dynamic prediction financial risks in manufacturing listed companies based on Kalman filter.Thirdly,this paper puts forwad feasible way to prevent the prossibily of financial risk by simulating the influence of financial risk.