銀行的金融數(shù)據(jù)分析外文翻譯

1、<p>　　Banks analysis of financial data</p><p>　　Andreas P. Nawroth, Joachim Peinke</p><p>　　Institut fu¨ r Physik, Carl-von-Ossietzky Universita¨ t Oldenburg, D-26111 Oldenburg, G

2、ermany</p><p>　　Available online 30 March 2007</p><p><b>　　Abstract</b></p><p>　　A stochastic analysis of financial data is presented. In particular we investigate how t

3、he statistics of log returns change with different time delays t. The scale-dependent behaviour of financial data can be divided into two regions. The first time range, the small-timescale region (in the range of seconds

4、) seems to be characterised by universal features. The second time range, the medium-timescale range from several minutes upwards can be characterised by a cascade process, which is given by a</p><p>　　Keywo

5、rds: Banks; Financial markets; Stochastic processes; Fokker–Planck equation</p><p>　　1.Introduction</p><p>　　Financial statements for banks present a different analytical problem than manufactur

6、ing and service companies. As a result, analysis of a bank’s financial statements requires a distinct approach that recognizes a bank’s somewhat unique risks.</p><p>　　Banks take deposits from savers, paying

7、 interest on some of these accounts. They pass these funds on to borrowers, receiving interest on the loans. Their profits are derived from the spread between the rate they pay for funds and the rate they receive from bo

8、rrowers. This ability to pool deposits from many sources that can be lent to many different borrowers creates the flow of funds inherent in the banking system. By managing this flow of funds, banks generate profits, acti

9、ng as the intermediar</p><p>　　2. Small-scale analysis</p><p>　　Banking is a highly leveraged business requiring regulators to dictate minimal capital levels to help ensure the solvency of each

10、bank and the banking system. In the US, a bank’s primary regulator could be the Federal Reserve Board, the Office of the Comptroller of the Currency, the Office of Thrift Supervision or any one of 50 state regulatory bod

11、ies, depending on the charter of the bank. Within the Federal Reserve Board, there are 12 districts with 12 different regulatory staffing groups. Thes</p><p>　　As one of the most highly regulated banking ind

12、ustries in the world, investors have some level of assurance in the soundness of the banking system. As a result, investors can focus most of their efforts on how a bank will perform in different economic environments. &

13、lt;/p><p>　　Below is a sample income statement and balance sheet for a large bank. The first thing to notice is that the line items in the statements are not the same as your typical manufacturing or service fi

14、rm. Instead, there are entries that represent interest earned or expensed as well as deposits and loans.</p><p>　　As financial intermediaries, banks assume two primary types of risk as they manage the flow o

15、f money through their business. Interest rate risk is the management of the spread between interest paid on deposits and received on loans over time. Credit risk is the likelihood that a borrower will default on its loan

16、 or lease, causing the bank to lose any potential interest earned as well as the principal that was loaned to the borrower. As investors, these are the primary elements that need to be un</p><p>　　3. Medium

17、scale analysis</p><p>　　The primary business of a bank is managing the spread between deposits. Basically when the interest that a bank earns from loans is greater than the interest it must pay on deposits,

18、it generates a positive interest spread or net interest income. The size of this spread is a major determinant of the profit generated by a bank. This interest rate risk is primarily determined by the shape of the yield

19、curve.</p><p>　　As a result, net interest income will vary, due to differences in the timing of accrual changes and changing rate and yield curve relationships. Changes in the general level of market interes

20、t rates also may cause changes in the volume and mix of a bank’s balance sheet products. For example, when economic activity continues to expand while interest rates are rising, commercial loan demand may increase while

21、residential mortgage loan growth and prepayments slow.</p><p>　　Banks, in the normal course of business, assume financial risk by making loans at interest rates that differ from rates paid on deposits. Depos

22、its often have shorter maturities than loans. The result is a balance sheet mismatch between assets (loans) and liabilities (deposits). An upward sloping yield curve is favorable to a bank as the bulk of its deposits are

23、 short term and their loans are longer term. This mismatch of maturities generates the net interest revenue banks enjoy. When the yield c</p><p>　　4.Even in a business using Six Sigma® methodology. an “

24、optimal” level of working capital management needs to be identified.</p><p>　　The table below ties together the bank’s balance sheet with the income statement and displays the yield generated from earning as

25、sets and interest bearing deposits. Most banks provide this type of table in their annual reports. The following table represents the same bank as in the previous examples:</p><p>　　First of all, the balance

26、 sheet is an average balance for the line item, rather than the balance at the end of the period. Average balances provide a better analytical framework to help understand the bank’s financial performance. Notice that fo

27、r each average balance item there is a corresponding interest-related income, or expense item, and the average yield for the time period. It also demonstrates the impact a flattening yield curve can have on a bank’s net

28、interest income. </p><p>　　The best place to start is with the net interest income line item. The bank experienced lower net interest income even though it had grown average balances. To help understand how

29、this occurred, look at the yield achieved on total earning assets. For the current period ,it is actually higher than the prior period. Then examine the yield on the interest-bearing assets. It is substantially higher in

30、 the current period, causing higher interest-generating expenses. This discrepancy in the performanc</p><p>　　As the yield curve flattens, the interest rate the bank pays on shorter term deposits tends to in

31、crease faster than the rates it can earn from its loans. This causes the net interest income line to narrow, as shown above. One way banks try o overcome the impact of the flattening of the yield curve is to increase the

32、 fees they charge for services. As these fees become a larger portion of the bank’s income, it becomes less dependent on net interest income to drive earnings.</p><p>　　Changes in the general level of intere

33、st rates may affect the volume of certain types of banking activities that generate fee-related income. For example, the volume of residential mortgage loan originations typically declines as interest rates rise, resulti

34、ng in lower originating fees. In contrast, mortgage servicing pools often face slower prepayments when rates are rising, since borrowers are less likely to refinance. Ad a result, fee income and associated economic value

35、 arising from mortgage</p><p>　　When analyzing a bank you should also consider how interest rate risk may act jointly with other risks facing the bank. For example, in a rising rate environment, loan custome

36、rs may not be able to meet interest payments because of the increase in the size of the payment or reduction in earnings. The result will be a higher level of problem loans. An increase in interest rate is exposes a bank

37、 with a significant concentration in adjustable rate loans to credit risk. For a bank that is predominate</p><p>　　5.Related Literature </p><p>　　The importance of working capital management is

38、not new to the finance literature. Over twenty years ago. Largay and Stickney (1980) reported that the then-recent bankruptcy of W.T. Grant. a nationwide chain of department stores. should have been anticipated because t

39、he corporation had been running a deficit cash flow from operations for eight of the last ten years of its corporate life. As part of a study of the Fortune 500’s financial management practices. Gilbert and Reichert (199

40、5) find that</p><p>　　Theoretical determination of optimal trade credit limits are the subject of many articles over the years (e.g.. Schwartz 1974; Scherr 1996). with scant attention paid to actual accounts

41、 receivable management. Across a limited sample. Weinraub and Visscher (1998) observe a tendency of firms with low levels of current ratios to also have low levels of current liabilities. Simultaneously investigating acc

42、ounts receivable and payable issues. Hill. Sartoris. and Ferguson (1984) find differences in th</p><p>　　Maness and Zietlow (2002. 51. 496) presents two models of value creation that incorporate effective sh

43、ort-term financial management activities. However. these models are generic models and do not consider unique firm or industry influences. Maness and Zietlow discuss industry influences in a short paragraph that includes

44、 the observation that. “An industry a company is located in may have more influence on that company’s fortunes than overall GNP” (2002. 507). In fact. a careful review of this 62</p><p>　　An extensive survey

45、 of library and Internet resources provided very few recent reports about working capital management. The most relevant set of articles was Weisel and Bradley’s (2003) article on cash flow management and one of inventory

46、 control as a result of effective supply chain management by Hadley (2004). </p><p>　　6.Research Method</p><p>　　The CFO Rankings </p><p>　　The first annual CFO Working Capital Surv

47、ey. a joint project with REL Consultancy Group. was published in the June 1997 issue of CFO (Mintz and Lezere 1997). REL is a London. England-based management consulting firm specializing in working capital issues for it

48、s global list of clients. The original survey reports several working capital benchmarks for public companies using data for 1996. Each company is ranked against its peers and also against the entire field of 1.000 compa

49、nies. REL continues</p><p>　　REL uses the “cash flow from operations” value located on firm cash flow statements to estimate cash conversion efficiency (CCE). This value indicates how well a company transfor

50、ms revenues into cash flow. A “days of working capital” (DWC) value is based on the dollar amount in each of the aggregate. equally-weighted receivables. inventory. and payables accounts. The “days of working capital” (D

51、NC) represents the time period between purchase of inventory on acccount from vendor until the sale to</p><p>　　7.Research Findings</p><p>　　Average and Annual Working Capital Management Perform

52、ance </p><p>　　Working capital management component definitions and average values for the entire 1996 – 2000 period . Across the nearly 1.000 firms in the survey. cash flow from operations. defined as cash

53、flow from operations divided by sales and referred to as “cash conversion efficiency” (CCE). averages 9.0 percent. Incorporating a 95 percent confidence interval. CCE ranges from 5.6 percent to 12.4 percent. The days wor

54、king capital (DWC). defined as the sum of receivables and inventories less payables divi</p><p>　　8.Industry Rankings on Overall Working Capital Management Performance </p><p>　　CFO magazine pro

55、vides an overall working capital ranking for firms in its survey. using the following equation:Industry-based differences in overall working capital management are presented for the twenty-six industries that had at lea

56、st eight companies included in the rankings each year. In the typical year. CFO magazine ranks 970 companies during this period. Industries are listed in order of the mean overall CFO ranking of working capital performan

57、ce. Since the best average ranking possible </p><p>　　9. Results for Bayer data</p><p>　　The Kramers–Moyal coefficients were calculated according to Eqs. (5) and (6). The timescale was divided i

58、nto half-open intervals</p><p>　　assuming that the Kramers–Moyal coefficients are constant with respect to the timescaleτin each of these subintervals of the timescale. The smallest timescale considered was

59、240 s and all larger scales were chosen such that τi＝0.9*τi+1. The Kramers–Moyal coefficients themselves were parameterised in the following form:</p><p>　　This result shows that the rich and complex structu

60、re of financial data, expressed by multi-scale statistics, can be pinned down to coefficients with a relatively simple functional form.</p><p>　　10. Discussion</p><p>　　Credit risk is most simpl

61、y defined as the potential that a bank borrower or counter-party will fail to meet its obligations in accordance with agreed terms. When this happens, the bank will experience a loss of some or all of the credit it provi

62、de to its customer. To absorb these losses, banks maintain an allowance for loan and lease losses. In essence, this allowance can be viewed as a pool of capital specifically set aside to absorb estimated loan losses. Thi

63、s allowance should be maintained at</p><p>　　A careful review of a bank’s financial statements can highlight the key factors that should be considered becomes before making a trading or investing decision. I

64、nvestors need to have a good understanding of the business cycle and the yield curve-both have a major impact on the economic performance of banks. Interest rate risk and credit risk are the primary factors to consider a

65、s a bank’s financial performance follows the yield curve. When it flattens or becomes inverted a bank’s net interest r</p><p><b>　　銀行的金融數(shù)據(jù)分析</b></p><p>　　Andreas P. Nawroth, Joachim

66、Peinke</p><p>　　物理研究所，Carl-von-Ossietzky奧爾登堡大學(xué)，D - 26111奧爾登伯格，德國(guó)</p><p><b>　　摘要</b></p><p>　　財(cái)務(wù)數(shù)據(jù)隨機(jī)分析已經(jīng)被提出，特別是我們探討如何統(tǒng)計(jì)在不同時(shí)間τ記錄返回的變化。財(cái)務(wù)數(shù)據(jù)的時(shí)間規(guī)模依賴行為可分為兩個(gè)區(qū)域：第一個(gè)時(shí)間范圍是被描述為普遍特征

67、的小時(shí)間區(qū)域（范圍秒）。第二個(gè)時(shí)間范圍是增加了幾分鐘的可以被描述為隨機(jī)馬爾可夫規(guī)模的級(jí)聯(lián)過(guò)程的中期時(shí)間范圍。相應(yīng)的Fokker - Planck方程可以從特定的數(shù)據(jù)提取，并提供了一個(gè)非平衡熱力學(xué)描述的復(fù)雜的財(cái)務(wù)數(shù)據(jù)。</p><p>　　關(guān)鍵詞：銀行；金融市場(chǎng)；隨機(jī)過(guò)程；Fokker - Planck方程</p><p><b>　　1 導(dǎo)言</b></p>

68、;<p>　　銀行的財(cái)務(wù)報(bào)表分析不同于制造業(yè)和服務(wù)業(yè)的公司。因此，一家銀行的財(cái)務(wù)報(bào)表分析，需要用一個(gè)獨(dú)特的方法來(lái)認(rèn)識(shí)一家銀行有哪些獨(dú)特的風(fēng)險(xiǎn)</p><p>　　銀行需要對(duì)儲(chǔ)戶的存款帳戶支付部分利息。他們通過(guò)對(duì)這些基金的借款，接受的貸款利息。他們的利潤(rùn)都來(lái)源于他們之間的資金利率和借款利率。這可以從許多不同的借款借給許多來(lái)源的能力，集中存款創(chuàng)造了資金在銀行體系固有流量。通過(guò)管理這種資金流動(dòng)，銀行產(chǎn)生利

69、潤(rùn)，充當(dāng)了中間人支付的利息和利息接收和向客戶提供以信貸風(fēng)險(xiǎn)</p><p><b>　　2 小規(guī)模分析</b></p><p>　　銀行業(yè)是一個(gè)高度杠桿業(yè)務(wù)，需要監(jiān)管部門來(lái)支配最低資本水平，以確保各銀行和銀行系統(tǒng)的償付能力。在美國(guó)，銀行的主要監(jiān)管機(jī)構(gòu)可能是美國(guó)聯(lián)邦儲(chǔ)備委員會(huì)，對(duì)美國(guó)貨幣監(jiān)理署，互助儲(chǔ)蓄銀行監(jiān)管辦事處或任何一個(gè)50個(gè)州的監(jiān)管機(jī)構(gòu)，根據(jù)銀行的章程。在美國(guó)聯(lián)

70、邦儲(chǔ)備委員會(huì)，有12個(gè)與12個(gè)不同的管理人員群體的地區(qū)。這些監(jiān)管機(jī)構(gòu)注重一定的要求，限制及指引，旨在堅(jiān)持健全銀行系統(tǒng)的完整性。</p><p>　　作為世界上最嚴(yán)格監(jiān)管銀行業(yè)的產(chǎn)業(yè)之一，投資者有一定的保證，保持在銀行體系的穩(wěn)健水平。因此，投資者可以集中精力確定銀行將如何在不同的經(jīng)濟(jì)環(huán)境中履行自己的大部分精力。</p><p>　　下面是一個(gè)示例利潤(rùn)表和一家大型銀行的資產(chǎn)負(fù)債表。首先要注意的

71、是在報(bào)表的行項(xiàng)目是不一樣的典型的制造或服務(wù)的公司。相反，代表作品有利息或開(kāi)支的存款和貸款。 由于金融中介機(jī)構(gòu)是銀行承擔(dān)風(fēng)險(xiǎn)的兩個(gè)主要類型之一，因?yàn)樗麄児芾淼馁Y金通過(guò)其業(yè)務(wù)流程。利率風(fēng)險(xiǎn)是支付的利息之間的存款及貸款收到隨著時(shí)間的推移傳播管理。信用風(fēng)險(xiǎn)是借款人的可能性將拖欠的貸款或租賃，導(dǎo)致銀行失去任何潛在的利息是被租借給借款本金。作為投資者，這些都是需要理解在分析銀行的財(cái)務(wù)報(bào)表的主要因素。</p><p>

72、<b>　　3 中等規(guī)模的分析</b></p><p>　　某家銀行的主要業(yè)務(wù)是管理存款之間傳播?；旧袭?dāng)利息，銀行從貸款利息的收入比它必須支付的存款更大，它會(huì)產(chǎn)生一個(gè)積極的息差或凈利息收入。這種傳播的大小是由銀行所產(chǎn)生的利潤(rùn)的主要因素。這一利率風(fēng)險(xiǎn)主要取決于產(chǎn)量曲線的形狀。</p><p>　　因此，凈利息收入會(huì)有所不同，由于權(quán)責(zé)發(fā)生制的變化和變化率和收益曲線的關(guān)系

73、時(shí)差。在市場(chǎng)利率水平的變化也可能會(huì)導(dǎo)致在數(shù)量和銀行的資產(chǎn)負(fù)債表的產(chǎn)品組合的變化。例如，當(dāng)經(jīng)濟(jì)活動(dòng)繼續(xù)擴(kuò)張，而利率上升，商業(yè)貸款的需求可能增加，但住宅按揭貸款增長(zhǎng)放緩</p><p>　　銀行在正常業(yè)務(wù)過(guò)程中，承擔(dān)起在利率決策，從不同的存款利率支付貸款的金融風(fēng)險(xiǎn)。存款往往比貸款期限較短。其結(jié)果是不同的資產(chǎn)（貸款）和負(fù)債（存款）資產(chǎn)負(fù)債表不匹配。一個(gè)向上傾斜的收益率曲線，有利于銀行存款作為其大部分是短期和長(zhǎng)期貸款。這

74、種期限不匹配產(chǎn)生的凈利息收入銀行享受。當(dāng)收益曲線變得平坦，這不匹配導(dǎo)致凈利息收益減少。</p><p>　　4.即使在一個(gè)業(yè)務(wù)中使用.六西格瑪方法論的“最佳”的營(yíng)運(yùn)資金管理需要被確認(rèn)</p><p>　　下面的表格聯(lián)系在一起的世行與損益表和顯示來(lái)自生息資產(chǎn)和計(jì)息存款產(chǎn)生的收益率資產(chǎn)負(fù)債表。大部分銀行在其年度報(bào)告中提供這種類型的表。下表表示為在前面的例子相同的銀行：</p>&

75、lt;p>　　首先，資產(chǎn)負(fù)債表是一個(gè)行業(yè)項(xiàng)目平均余額，而不是在期末余額。平均余額提供一個(gè)更好的分析框架，幫助了解銀行的財(cái)務(wù)表現(xiàn)。注意，對(duì)于每個(gè)項(xiàng)目的平均余額有相應(yīng)的利益相關(guān)收入或支出項(xiàng)目，并為時(shí)間段內(nèi)的平均產(chǎn)量。這也顯示出一個(gè)扁平的收益率曲線的影響可能對(duì)銀行的凈利息收入。</p><p>　　最好的地方是與凈利息收入線項(xiàng)目。經(jīng)驗(yàn)豐富的銀行凈利息收入減少，即使它已發(fā)展平均余額。為了幫助理解這是如何發(fā)生的，看的

76、時(shí)候總注重資產(chǎn)取得的收益。對(duì)于目前的時(shí)期，它實(shí)際上是比前期高。然后檢查上生息資產(chǎn)收益率。這是在當(dāng)期大幅高利率導(dǎo)致產(chǎn)生的費(fèi)用更高。這家銀行的表現(xiàn)差異是由于收益曲線平坦。</p><p>　　由于收益率曲線變平，利率銀行在短期存款支付往往增加速度比它的貸款可以賺快。這將導(dǎo)致該行凈利息收入縮小，如上所示。 Ø銀行嘗試的一種方法克服了收益曲線平坦的影響是增加的費(fèi)用，他們的服務(wù)費(fèi)。由于這些費(fèi)用成為銀行收入的較大部

77、分，它變得越來(lái)越依賴于凈利息收入來(lái)帶動(dòng)盈利</p><p>　　在一般利率水平的變化可能會(huì)影響到某些類型的銀行活動(dòng)產(chǎn)生的費(fèi)用有關(guān)的收入額。例如，住宅按揭貸款發(fā)放量下降，通常隨著利率上升，從而降低費(fèi)用造成的起源。與此相反，往往面臨抵押服務(wù)池慢預(yù)付款當(dāng)利率在上升，因?yàn)榻杩钊嗽偃谫Y的可能性較小。廣告結(jié)果，收費(fèi)收入和相關(guān)的經(jīng)濟(jì)價(jià)值的抵押貸款服務(wù)有關(guān)的業(yè)務(wù)可能會(huì)增加或保持適度穩(wěn)定利率上升期間產(chǎn)生的</p>&

78、lt;p>　　當(dāng)你分析一個(gè)銀行也應(yīng)考慮如何采取行動(dòng)的利率風(fēng)險(xiǎn)可能面臨的風(fēng)險(xiǎn)與其他銀行聯(lián)合。例如，在一個(gè)上升的利率環(huán)境下，貸款客戶可能無(wú)法滿足，因?yàn)樵诟犊罨蚴杖霚p少的大小增加利息支出。其結(jié)果將是一個(gè)問(wèn)題貸款的水平。在加息是一個(gè)公開(kāi)的可調(diào)整利率貸款的信貸風(fēng)險(xiǎn)高度集中的銀行。對(duì)于一個(gè)正在為主與短期負(fù)債資銀行，在利率上升可能會(huì)減少凈利息收入的同時(shí)信貸質(zhì)量問(wèn)題在增加。</p><p><b>　　5.相關(guān)文

79、獻(xiàn)</b></p><p>　　營(yíng)運(yùn)資金管理的重要性在于它并不是新的金融文學(xué)。20多年前，斯蒂克尼（1980）報(bào)告說(shuō)。當(dāng)時(shí)的小波格蘭特的全國(guó)連鎖百貨公司相繼破產(chǎn)，應(yīng)該是因?yàn)楣窘?jīng)營(yíng)了最后10年里經(jīng)營(yíng)里有8年的經(jīng)營(yíng)赤字，這早就作為一個(gè)世界500強(qiáng)的財(cái)務(wù)管理實(shí)踐研究的一部分。吉爾伯特和銳徹(1995)發(fā)現(xiàn)應(yīng)收賬款的管理模式在使用后，有百分之五十九的公司提高營(yíng)運(yùn)資金項(xiàng)目，而庫(kù)存管理模型應(yīng)用于百分之六十的公司

80、。最近，法瑞芬.克萊曼和薩胡（1999年）發(fā)現(xiàn)百分之五十五的公司中，標(biāo)準(zhǔn)普爾工業(yè)指數(shù)完成是某種形式的現(xiàn)金流量的評(píng)估，但并未提出關(guān)于應(yīng)收賬款和存貨管理的見(jiàn)解，或任何流動(dòng)資產(chǎn)的變化帳戶或各行業(yè)現(xiàn)有資產(chǎn)負(fù)債賬戶的變化。因此，混合證據(jù)表明有關(guān)營(yíng)運(yùn)資金管理技術(shù)的使用。</p><p>　　優(yōu)化貿(mào)易信貸限額理論是多年來(lái)自許多文章的主題（例如，施瓦茨1974年，謝爾1996年）注重實(shí)際的應(yīng)收賬款的管理。通過(guò)有限的樣本，溫勞布和

81、菲斯海爾(1998)觀察到的趨勢(shì)是目前比率低的公司也有低水平的流動(dòng)負(fù)債。同時(shí)調(diào)查應(yīng)收賬款和應(yīng)付賬款的問(wèn)題。希爾·薩爾托里斯和弗格森（1984年）發(fā)現(xiàn)方式付款日期的不同的定義。收款人定義付款日期為收到貨款的日期，而付款人查看付款日期的郵戳，額外的協(xié)作平臺(tái)了解各企業(yè)、行業(yè)和時(shí)間能夠增加這方面的研究機(jī)構(gòu)。</p><p>　　瑪尼思和澤特羅（2002年）提供了兩個(gè)價(jià)值創(chuàng)造的模式。納入有效的短期的財(cái)務(wù)管理活動(dòng)。

82、但是，這些模型都是通用的模型并沒(méi)有考慮獨(dú)特的企業(yè)或行業(yè)的影響?，斈崴己蜐商亓_談?wù)撘恍《萎a(chǎn)業(yè)影響包括那些“一個(gè)工業(yè)公司可能有更多的財(cái)富”公司可能影響整體國(guó)民生產(chǎn)總值。事實(shí)上，發(fā)現(xiàn)只有在實(shí)際的層面的營(yíng)運(yùn)資金管理的公司有各級(jí)零星資料。幾乎任何事物除了一些游戲項(xiàng)目，如盒裝行業(yè)因素。“如果商家提供了一個(gè)內(nèi)部的信用卡”。隨著時(shí)間的推移，沒(méi)有什么能影響營(yíng)運(yùn)資金管理穩(wěn)定性。這項(xiàng)研究將試圖完善調(diào)查有關(guān)工作措施以填補(bǔ)行業(yè)內(nèi)資金模式這一空白，并說(shuō)明說(shuō)明行業(yè)間

83、的跨時(shí)差異。</p><p>　　一個(gè)對(duì)圖書(shū)館和網(wǎng)絡(luò)資源進(jìn)行廣泛的調(diào)查得到了很少的最新報(bào)告是關(guān)于營(yíng)運(yùn)資金管理。最相關(guān)的文章是衛(wèi)瑟和布拉德利的(2003)現(xiàn)金流量管理和庫(kù)存管理作為一種有效的供應(yīng)鏈管理的途徑(2004)。</p><p><b>　　6.研究方法</b></p><p>　　第一次年度首席財(cái)務(wù)官營(yíng)運(yùn)資金管理的調(diào)查。與REL顧問(wèn)組的

84、聯(lián)合項(xiàng)目，發(fā)表在1997年6月首席財(cái)務(wù)官雜志上。 REL是英國(guó)倫敦為基礎(chǔ)的管理咨詢公司，專門從事于流動(dòng)資金問(wèn)題的服務(wù)，面向全球的客戶。原來(lái)的調(diào)查報(bào)告的營(yíng)運(yùn)資金運(yùn)用數(shù)據(jù)的上市公司的標(biāo)準(zhǔn)為1996年。每家公司對(duì)其同行的排名是針對(duì)整個(gè)領(lǐng)域的1000家公司.REL繼續(xù)更新以前年度基礎(chǔ)上的原始資料。</p><p>　　REL使用的業(yè)務(wù)“現(xiàn)金流”的價(jià)值是對(duì)企業(yè)現(xiàn)金流量表作用于估計(jì)現(xiàn)金轉(zhuǎn)換效率（CCE）的。此值表示公司如何轉(zhuǎn)

85、化現(xiàn)金流收入，一個(gè)“天的營(yíng)運(yùn)資金”價(jià)值是基于金額之和，即每個(gè)應(yīng)收賬款、庫(kù)存、應(yīng)付帳款帳戶之和?！叭諣I(yíng)運(yùn)資金”代表一個(gè)時(shí)期購(gòu)買存貨從供應(yīng)商到銷售給客戶之間收集的應(yīng)收賬款、付款收據(jù)。因此，它反映了公司的核心融資業(yè)務(wù)能力與供應(yīng)商信用。一份詳細(xì)的調(diào)查營(yíng)運(yùn)資金管理是可能的反應(yīng)出來(lái)的。因?yàn)楣臼紫?cái)務(wù)官也提供產(chǎn)業(yè)價(jià)值、工業(yè)銷售優(yōu)秀(天/ R)、存貨周轉(zhuǎn)、應(yīng)付款優(yōu)秀(天/ P)。</p><p><b>　　7.研究

86、發(fā)現(xiàn)</b></p><p>　　年平均周轉(zhuǎn)和管理績(jī)效</p><p>　　營(yíng)運(yùn)資金管理部分的定義和整個(gè)96年至00年期間的平均值。在整個(gè)調(diào)查中近1000家的經(jīng)營(yíng)活動(dòng)產(chǎn)生現(xiàn)金流?，F(xiàn)金除以銷售的作業(yè)流程被稱為“現(xiàn)金轉(zhuǎn)換效率”（CCE）的。平均九個(gè)百分點(diǎn)到百分之九十五的信心區(qū)間中，從5.6%至12.4%消費(fèi)支出超出范圍。日營(yíng)運(yùn)資金（DWC）作為應(yīng)收款和庫(kù)存較少除以每日銷售的應(yīng)付款項(xiàng)

87、，平均51.8天或非常相似的日子則為銷售的優(yōu)秀（50.6）。在所有情況下，標(biāo)準(zhǔn)差相對(duì)較小，這表明這些營(yíng)運(yùn)資金的管理工作的變量都是和首席財(cái)務(wù)官的報(bào)告是一致的。</p><p>　　8.行業(yè)排名整體工作性能影響資金管理</p><p>　　首席財(cái)務(wù)官雜志提供了一個(gè)其調(diào)查公司間的整體營(yíng)運(yùn)資金的排名。使用下列公式：在進(jìn)行整體營(yíng)運(yùn)資金管理的差異比較行業(yè)中前26名。至少有八家公司在每年的排名中出現(xiàn)。在

88、典型的年份中，首席財(cái)務(wù)官雜志在此期間970公司的排名。列出的平均周轉(zhuǎn)性能整體的工業(yè)企業(yè)中在首席財(cái)務(wù)官雜志中的排名順序。由于最佳的平均排名中8個(gè)最可能的公司在行業(yè)中是4.5（這個(gè)假設(shè)的8家公司的排名是通過(guò)八個(gè)整體調(diào)查之一）。但很顯然，在石油行業(yè)的所有企業(yè)必須有非常高的整體營(yíng)運(yùn)資金管理的排名。事實(shí)上，石油行業(yè)是排名第一的現(xiàn)金轉(zhuǎn)換效率和第三名的日營(yíng)運(yùn)資金。另外，石油工業(yè)的最低標(biāo)準(zhǔn)偏差范圍的排名和營(yíng)運(yùn)資金流動(dòng)資金的排名。其他行業(yè)唯一的平均總體排

89、名低于100是電和煤氣公用行業(yè)。他們現(xiàn)金轉(zhuǎn)換效率排名第二，日營(yíng)運(yùn)資金排名第四。這兩個(gè)行業(yè)最大的資金排行是紡織品和服裝，紡織品排名第二十二的消費(fèi)支出和第二十六位營(yíng)運(yùn)資金。服裝行業(yè)排名第二十三和第二十四在兩個(gè)采取的流動(dòng)資金的措施。</p><p><b>　　9.拜耳數(shù)據(jù)的結(jié)果</b></p><p>　　Kramers-Moyal系數(shù)是根據(jù)公式（5）和（6）計(jì)算出來(lái)的。

90、時(shí)間尺度被分為半開(kāi)放間隔[1/2(τi-1+τi),1/2(τi+τi+1)] , 假設(shè)Kramers-Moyal系數(shù)關(guān)于時(shí)間t在時(shí)間表的每一個(gè)子區(qū)間都是常數(shù)，最小的時(shí)間尺度被認(rèn)為是240秒，所有較大的規(guī)模都選擇τi＝0.9*τi+1。Kramers-Moyal系數(shù)以下面的形式增加：</p><p>　　這一結(jié)果表明，財(cái)務(wù)數(shù)據(jù)的豐富性和復(fù)雜性是用多尺度來(lái)統(tǒng)計(jì)的，可以以相對(duì)簡(jiǎn)單的功能表中的數(shù)據(jù)來(lái)牽制。</p&

91、gt;<p><b>　　10.討論</b></p><p>　　信貸風(fēng)險(xiǎn)是最簡(jiǎn)單的定義為潛力，銀行借款人或交易對(duì)手將無(wú)法滿足商定的條款的義務(wù)。當(dāng)發(fā)生這種情況，銀行將經(jīng)歷一個(gè)部分或它提供的信貸的客戶的所有損失。為了吸收這些損失，銀行貸款保持和租賃損失撥備。從本質(zhì)上講，這種津貼可以被看作是一個(gè)專門撥出資金來(lái)吸收貸款損失估計(jì)池。這項(xiàng)津貼應(yīng)維持在一定水平，足以吸收損失可能在該機(jī)構(gòu)的貸

92、款組合的估計(jì)數(shù)額。</p><p>　　對(duì)一間銀行的財(cái)務(wù)報(bào)表的認(rèn)真審查可以強(qiáng)調(diào)指出，應(yīng)考慮才作交易或投資決策成為關(guān)鍵因素。投資者需要有一個(gè)良好的商業(yè)周期的理解和收益曲線，都有一個(gè)對(duì)銀行的經(jīng)濟(jì)表現(xiàn)產(chǎn)生重大影響。利率風(fēng)險(xiǎn)和信用風(fēng)險(xiǎn)是主要因素，作為銀行的財(cái)務(wù)表現(xiàn)考慮如下的收益曲線。當(dāng)它壓平或成為倒銀行的凈利息收益面臨更大的壓力。當(dāng)收益曲線恢復(fù)到傳統(tǒng)的形狀，銀行的凈利息收益通常有所改善。信用風(fēng)險(xiǎn)是最大的貢獻(xiàn)者銀行負(fù)的表現(xiàn)