Aiming at the problems that the traditional Support Vector Machine (SVM) classifier is sensitive to outliers and has the large number of Support Vectors (SV) and the parameter of its separating hyperplane is not sparse, the Truncated hinge loss SVM with Smoothly Clipped Absolute Deviation (SCAD) penalty (SCAD-TSVM) was put forward and was used for constructing the financial early-warning model. At the same time, an iterative updating algorithm was proposed to solve the SCAD-TSVM model. Experiments were implemented on the financial data of A-share manufacturing listed companies of the Shanghai and Shenzhen stock markets. Compared to the T-2 and T-3 models constructed by SVM with L1 norm penalty (L1-SVM), SVM with SCAD penalty (SCAD-SVM) and Truncated hinge loss SVM (TSVM), the T-2 and T-3 model constructed by the SCAD-TSVM had the best sparseness and the highest accuracy of prediction, and its average accuracies of prediction with different number of training samples were higher than those of the L1-SVM, SCAD-SVM and TSVM algorithms.