银行财务报表分析中英文对照外文翻译文献.docx

银行财务报表分析中英文对照外文翻译文献.docx

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银行财务报表分析中英文对照外文翻译文献

Banksanalysisoffinancialdata

AndreasP.Nawroth,JoachimPeinke

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）.Anupwardslopingyieldcurveisfavorabletoabankasthebulkofitsdepositsareshorttermandtheirloansarelongerterm.Thismismatchofmaturitiesgeneratesthenetinterestrevenuebanksenjoy.Whentheyieldcurveflattens,thismismatchcausesnetinterestrevenuetodiminish.

4.EveninabusinessusingSixSigma®methodology.an“optimal”levelofworkingcapitalmanagementneedstobeidentified.

Thetablebelowtiestogetherthebank’sbalancesheetwiththeincomestatementanddisplaystheyieldgeneratedfromearningassetsandinterestbearingdeposits.Mostbanksprovidethistypeoftableintheirannualreports.Thefollowingtablerepresentsthesamebankasinthepreviousexamples:

Firstofall,thebalancesheetisanaveragebalanceforthelineitem,ratherthanthebalanceattheendoftheperiod.Averagebalancesprovideabetteranalyticalframeworktohelpunderstandthebank’sfinancialperformance.Noticethatforeachaveragebalanceitemthereisacorrespondinginterest-relatedincome,orexpenseitem,andtheaverageyieldforthetimeperiod.Italsodemonstratestheimpactaflatteningyieldcurvecanhaveonabank’snetinterestincome.

Thebestplacetostartiswiththenetinterestincomelineitem.Thebankexperiencedlowernetinterestincomeeventhoughithadgrownaveragebalances.Tohelpunderstandhowthisoccurred,lookattheyieldachievedontotalearningassets.Forthecurrentperiod,itisactuallyhigherthanthepriorperiod.Thenexaminetheyieldontheinterest-bearingassets.Itissubstantiallyhigherinthecurrentperiod,causinghigherinterest-generatingexpenses.Thisdiscrepancyintheperformanceofthebankisduetotheflatteningoftheyieldcurve.

Astheyieldcurveflattens,theinterestratethebankpaysonshortertermdepositstendstoincreasefasterthantheratesitcanearnfromitsloans.Thiscausesthenetinterestincomelinetonarrow,asshownabove.Onewaybankstryoovercometheimpactoftheflatteningoftheyieldcurveistoincreasethefeestheychargeforservices.Asthesefeesbecomealargerportionofthebank’sincome,itbecomeslessdependentonnetinterestincometodriveearnings.

Changesinthegenerallevelofinterestratesmayaffectthevolumeofcertaintypesofbankingactivitiesthatgeneratefee-relatedincome.Forexample,thevolumeofresidentialmortgageloanoriginationstypicallydeclinesasinterestratesrise,resultinginloweroriginatingfees.Incontrast,mortgageservicingpoolsoftenfaceslowerprepaymentswhenratesarerising,sinceborrowersarelesslikelytorefinance.Adaresult,feeincomeandassociatedeconomicvaluearisingfrommortgageservicing-relatedbusinessesmayincreaseorremainstableinperiodsofmoderatelyrisinginterestrates.

Whenanalyzingabankyoushouldalsoconsiderhowinterestrateriskmayactjointlywithotherrisksfacingthebank.Forexample,inarisingrateenvironment,loancustomersmaynotbeabletomeetinterestpaymentsbecauseoftheincreaseinthesizeofthepaymentorreductioninearnings.Theresultwillbeahigherlevelofproblemloans.Anincreaseininterestrateisexposesabankwithasignificantconcentrationinadjustablerateloanstocreditrisk.Forabankthatispredominatelyfundedwithshort-termliabilities,ariseinratesmaydecreasenetinterestincomeatthesametimecreditqualityproblemsareontheincrease.

5.RelatedLiterature

Theimportanceofworkingcapitalmanagementisnotnewtothefinanceliterature.Overtwentyyearsago.LargayandStickney（1980）reportedthatthethen-recentbankruptcyofW.T.Grant.anationwidechainofdepartmentstores.shouldhavebeenanticipatedbecausethecorporationhadbeenrunningadeficitcashflowfromoperationsforeightofthelasttenyearsofitscorporatelife.AspartofastudyoftheFortune500’sfinancialmanagementpractices.GilbertandReichert（1995）findthataccountsreceivablemanagementmodelsareusedin59percentofthesefirmstoimproveworkingcapitalprojects.whileinventorymanagementmodelswereusedin60percentofthecompanies.Morerecently.Farragher.KleimanandSahu（1999）findthat55percentoffirmsintheS&PIndustrialindexcompletesomeformofacashflowassessment.butdidnotpresentinsightsregardingaccountsreceivableandinventorymanagement.orthevariationsofanycurrentassetaccountsorliabilityaccountsacrossindustries.Thus.mixedevidenceexistsconcerningtheuseofworkingcapitalmanagementtechniques.

Theoreticaldeterminationofoptimaltradecreditlimitsarethesubjectofmanyarticlesovertheyears（e.g..Schwartz1974;Scherr1996）.withscantattentionpaidtoactualaccountsreceivablemanagement.Acrossalimitedsample.WeinraubandVisscher（1998）observeatendencyoffirmswithlowlevelsofcurrentratiostoalsohavelowlevelsofcurrentliabilities.Simultaneouslyinvestigatingaccountsreceivableandpayableissues.Hill.Sartoris.andFerguson（1984）finddiffere