A Research On The Financial Crisis Warning Of Listed Companies Based On An Interpretable Machine Learning Method

With the globalization of the world economy,the market environment for Chinese listed companies has become more complex and volatile.Various factors such as severe competition have caused the frequent occurrence of plummeting profits,severe reduction in market capitalization and bankruptcy of listed companies.The frequent occurrence of financial crises in listed companies can result in significant losses to the companies and investors.Furthermore,from the macro perspective,it is difficult for listed companies to maintain their normal business activities after falling into financial crisis.As a result,it can become the trigger for systematic financial risks,which would threaten the stable development of the entire industry and market.Most financial crisis warning methods have shortcomings in generalizability,adaptability and interpretability,which make it difficult for these traditional methods to meet the increasing demands in decision support system for financial crisis warning.In order to address these problems,and to help corporate management,market regulators and investors build an intelligent and efficient warning system for financial crises.By integrating various advanced machine learning algorithms and theories such as XGBoost,NSGA-II and SHAP,an accurate,efficient and interpretable financial crisis warning model for listed companies is proposed in this research.Multiple types of financial indicators are employed as input features with the Pearson correlation method applied to remove redundant features.The XGBoost algorithm is employed as the base classifier for financial crisis warning with its hyperparameters optimized by NSGA-II with the objectives of maximizing accuracy and efficiency.The SHAP approach is adopted to visualize the critical financial indicators that influence the identification results.We have also tested and validated the excellent performance of the proposed method in financial crisis warning on the typical sample.Moreover,based on the warning and explanation results of the proposed model,we also analyse the performance and reasons for the financial crisis by the theories of corporate governance and risk control,and provide various suggestions for enterprises and market investors to identify and prevent financial crises.