银行的金融数据分析外文翻译Word格式.doc
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银行的金融数据分析外文翻译Word格式.doc
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Institutfu¨
rPhysik,Carl-von-OssietzkyUniversita¨
tOldenburg,D-26111Oldenburg,Germany
Availableonline30March2007
Abstract
Astochasticanalysisoffinancialdataispresented.Inparticularweinvestigatehowthestatisticsoflogreturnschangewithdifferenttimedelayst.Thescale-dependentbehaviouroffinancialdatacanbedividedintotworegions.Thefirsttimerange,thesmall-timescaleregion(intherangeofseconds)seemstobecharacterisedbyuniversalfeatures.Thesecondtimerange,themedium-timescalerangefromseveralminutesupwardscanbecharacterisedbyacascadeprocess,whichisgivenbyastochasticMarkovprocessinthescaleτ.AcorrespondingFokker–Planckequationcanbeextractedfromgivendataandprovidesanon-equilibriumthermodynamicaldescriptionofthecomplexityoffinancialdata.
Keywords:
Banks;
Financialmarkets;
Stochasticprocesses;
Fokker–Planckequation
1.Introduction
Financialstatementsforbankspresentadifferentanalyticalproblemthanmanufacturingandservicecompanies.Asaresult,analysisofabank’sfinancialstatementsrequiresadistinctapproachthatrecognizesabank’ssomewhatuniquerisks.
Bankstakedepositsfromsavers,payinginterestonsomeoftheseaccounts.Theypassthesefundsontoborrowers,receivinginterestontheloans.Theirprofitsarederivedfromthespreadbetweentheratetheypayforfundsandtheratetheyreceivefromborrowers.Thisabilitytopooldepositsfrommanysourcesthatcanbelenttomanydifferentborrowerscreatestheflowoffundsinherentinthebankingsystem.Bymanagingthisflowoffunds,banksgenerateprofits,actingastheintermediaryofinterestpaidandinterestreceivedandtakingontherisksofofferingcredit.
2.Small-scaleanalysis
Bankingisahighlyleveragedbusinessrequiringregulatorstodictateminimalcapitallevelstohelpensurethesolvencyofeachbankandthebankingsystem.IntheUS,abank’sprimaryregulatorcouldbetheFederalReserveBoard,theOfficeoftheComptrolleroftheCurrency,theOfficeofThriftSupervisionoranyoneof50stateregulatorybodies,dependingonthecharterofthebank.WithintheFederalReserveBoard,thereare12districtswith12differentregulatorystaffinggroups.Theseregulatorsfocusoncompliancewithcertainrequirements,restrictionsandguidelines,aimingtoupholdthesoundnessandintegrityofthebankingsystem.
Asoneofthemosthighlyregulatedbankingindustriesintheworld,investorshavesomelevelofassuranceinthesoundnessofthebankingsystem.Asaresult,investorscanfocusmostoftheireffortsonhowabankwillperformindifferenteconomicenvironments.
Belowisasampleincomestatementandbalancesheetforalargebank.Thefirstthingtonoticeisthatthelineitemsinthestatementsarenotthesameasyourtypicalmanufacturingorservicefirm.Instead,thereareentriesthatrepresentinterestearnedorexpensedaswellasdepositsandloans.
Asfinancialintermediaries,banksassumetwoprimarytypesofriskastheymanagetheflowofmoneythroughtheirbusiness.Interestrateriskisthemanagementofthespreadbetweeninterestpaidondepositsandreceivedonloansovertime.Creditriskisthelikelihoodthataborrowerwilldefaultonitsloanorlease,causingthebanktoloseanypotentialinterestearnedaswellastheprincipalthatwasloanedtotheborrower.Asinvestors,thesearetheprimaryelementsthatneedtobeunderstoodwhenanalyzingabank’sfinancialstatement.
3.Mediumscaleanalysis
Theprimarybusinessofabankismanagingthespreadbetweendeposits.Basicallywhentheinterestthatabankearnsfromloansisgreaterthantheinterestitmustpayondeposits,itgeneratesapositiveinterestspreadornetinterestincome.Thesizeofthisspreadisamajordeterminantoftheprofitgeneratedbyabank.Thisinterestrateriskisprimarilydeterminedbytheshapeoftheyieldcurve.
Asaresult,netinterestincomewillvary,duetodifferencesinthetimingofaccrualchangesandchangingrateandyieldcurverelationships.Changesinthegenerallevelofmarketinterestratesalsomaycausechangesinthevolumeandmixofabank’sbalancesheetproducts.Forexample,wheneconomicactivitycontinuestoexpandwhileinterestratesarerising,commercialloandemandmayincreasewhileresidentialmortgageloangrowthandprepaymentsslow.
Banks,inthenormalcourseofbusiness,assumefinancialriskbymakingloansatinterestratesthatdifferfromratespaidondeposits.Depositsoftenhaveshortermaturitiesthanloans.Theresultisabalancesheetmismatchbetweenassets(loans)andliabilities(deposits).Anupwardslopingyieldcurveisfavorabletoabankasthebulkofitsdepositsareshorttermandtheirloansarelonger
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- 银行 金融 数据 分析 外文 翻译