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1、BanksanalysisoffinancialdataAndreasP.Nawroth,JoachimPeinkeInstitutfu¨rPhysik,Carl-von-OssietzkyUniversita¨tOldenburg,D-26111Oldenburg,GermanyAvailableonline30March2007AbstractAstochasticanalysisoffinancialdataispresented.Inparticularweinvestigatehowthestatisticsoflogreturnschange
2、withdifferenttimedelayst.Thescale-dependentbehaviouroffinancialdatacanbedividedintotworegions.Thefirsttimerange,thesmall-timescaleregion(intherangeofseconds)seemstobecharacterisedbyuniversalfeatures.Thesecondtimerange,themedium-timescalerangefromseveralminutesupwardscanbecharacte
3、risedbyacascadeprocess,whichisgivenbyastochasticMarkovprocessinthescaleτ.AcorrespondingFokker–Planckequationcanbeextractedfromgivendataandprovidesanon-equilibriumthermodynamicaldescriptionofthecomplexityoffinancialdata.Keywords:Banks;Financialmarkets;Stochasticprocesses;Fokker–Pl
4、anckequation191.IntroductionFinancialstatementsforbankspresentadifferentanalyticalproblemthanmanufacturingandservicecompanies.Asaresult,analysisofabank’sfinancialstatementsrequiresadistinctapproachthatrecognizesabank’ssomewhatuniquerisks.Bankstakedepositsfromsavers,payinginterest
5、onsomeoftheseaccounts.Theypassthesefundsontoborrowers,receivinginterestontheloans.Theirprofitsarederivedfromthespreadbetweentheratetheypayforfundsandtheratetheyreceivefromborrowers.Thisabilitytopooldepositsfrommanysourcesthatcanbelenttomanydifferentborrowerscreatestheflowoffundsi
6、nherentinthebankingsystem.Bymanagingthisflowoffunds,banksgenerateprofits,actingastheintermediaryofinterestpaidandinterestreceivedandtakingontherisksofofferingcredit.2.Small-scaleanalysisBankingisahighlyleveragedbusinessrequiringregulatorstodictateminimalcapitallevelstohelpensuret
7、hesolvencyofeachbankandthebankingsystem.IntheUS,abank’sprimaryregulatorcouldbetheFederalReserveBoard,theOfficeoftheComptrolleroftheCurrency,theOfficeofThriftSupervisionoranyoneof50stateregulatorybodies,dependingonthecharterofthebank.WithintheFederalReserveBoard,thereare12district
8、swith12differentregulatorystaffinggroups
