Early 2007, the subprime crisis emerged in Wall Street of the United States, which gradually developed into the biggest credit crunch and credit crisis since the Great Depression in 1930s. The scale, the impact and the loss of the crisis has been far more than expectation. However, traditional warning indicators of economy are not able to reflect the financial status of credit market in crisis. By a thorough analysis of origins and impact of credit crisis, this paper showed the complexity and uncertainty of the derived financial instruments, and established a new early warning system (EWS) model by data mining techniques.