利率市场化背景下商业银行内部资金转移定价的研究
发布时间：2018-12-07 16:01
【摘要】：在中国利率市场化进程不断推进背景下，中国商业银行面临利率风险程度将不断加深，从而会引起一系列诸如风险管理、产品定价和银行绩效考评等问题。因此，借鉴国外先进的商业银行管理经验，建立一套先进的、成熟的商业银行内部资金管理体系对于中国商业银行的稳健发展具有十分重要的意义。内部资金转移定价（Funds Transfer Pricing，简称FTP）作为国际上现代化科学的商业银行内部资金管理模式，通过一定的规则在商业银行内部资金中心与业务经营单位之间全额有偿转移资金，对商业银行利率风险集中管理、提升金融产品定价水平以及优化绩效评价方面有着非常重要的作用。目前，中国商业银行内部资金转移定价方面的研究时间不长、不够完善，利率市场化也不够彻底，尚未形成一整套现代科学严谨的定价理论框架与实际操作意义的价格体系，因此，有必要继续进行深入的研究。 本文首先对商业银行内部资金转移定价的定义、运作机制、基本模式和功能作用等相关理论基础进行了简单的介绍，并通过对商业银行内部资金管理的现状、现实条件与必要性等方面，进行了在中国推行内部资金转移定价体系的可行性分析。分析得出，一方面，传统式的上存下借的差额资金管理模式已经不能满足现代商业银行资产负债管理与绩效评价等方面的需要；另一方面，在中国进行内部资金转移定价的改革将是大势所趋。接下来，文章以在央行基准利率下的利率未完全市场化体系与完全的利率市场化体系两种不同的市场化程度为基础，分别按照构建内部资金转移定价的FTP曲线、FTP定价方法直至FTP调整项的步骤进行了全面、详细的分析，以便商业银行结合自身经营及业务特点选择最合适的FTP曲线构建方法和FTP定价方法，提高自身内部资金转移定价的准确性和合理性，以使得充分提高商业银行的资金使用效率。最后，，文章结合中国金融市场的实际情况，提出推行内部资金转移定价的完善性建议，对中国商业银行的实际运作有很强的指导意义。
[Abstract]:Under the background of Chinese interest rate marketization, the degree of interest rate risk of Chinese commercial banks will be deepened, which will lead to a series of problems such as risk management, product pricing and bank performance evaluation. Therefore, it is of great significance for the steady development of Chinese commercial banks to learn from the management experience of foreign advanced commercial banks and establish a set of advanced and mature internal capital management system of commercial banks. As the international modern and scientific internal fund management mode of commercial banks, (Funds Transfer Pricing, (Internal Capital transfer pricing) transfers funds in full compensation between commercial banks' internal capital centers and business operation units through certain rules. It plays an important role in the centralized management of interest rate risk of commercial banks, the promotion of pricing level of financial products and the optimization of performance evaluation. At present, the research on the internal capital transfer pricing of Chinese commercial banks is not long and perfect, and the marketization of interest rate is not thorough enough, and a set of modern scientific and rigorous pricing theoretical framework and a price system of practical significance have not yet been formed. Therefore, it is necessary to continue to carry out in-depth research. In this paper, the definition, operation mechanism, basic mode and function of the internal capital transfer pricing of commercial banks are briefly introduced, and the present situation of the internal capital management of commercial banks is introduced. The feasibility of implementing the internal transfer pricing system in China is analyzed in terms of realistic conditions and necessity. On the one hand, the traditional management mode of the difference fund can not meet the needs of modern commercial banks in asset liability management and performance evaluation. On the other hand, the reform of internal capital transfer pricing in China will be the trend of the times. Next, based on the two different marketization degree of interest rate under the central bank's benchmark interest rate, the paper constructs the FTP curve of the internal capital transfer pricing, respectively, on the basis of the two different marketization degree of the interest rate incomplete marketization system and the complete interest rate marketization system under the central bank benchmark interest rate. The steps from FTP pricing method to FTP adjustment term are analyzed in detail, so that commercial banks can choose the most suitable FTP curve construction method and FTP pricing method according to their own management and business characteristics. To improve the accuracy and rationality of internal capital transfer pricing in order to fully improve the efficiency of commercial banks in the use of funds. Finally, according to the actual situation of China's financial market, the paper puts forward some suggestions for perfecting the internal transfer pricing of funds, which has a strong guiding significance for the actual operation of Chinese commercial banks.
【学位授予单位】：南京财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.33;F830.42
本文编号：2367436
[Abstract]:Under the background of Chinese interest rate marketization, the degree of interest rate risk of Chinese commercial banks will be deepened, which will lead to a series of problems such as risk management, product pricing and bank performance evaluation. Therefore, it is of great significance for the steady development of Chinese commercial banks to learn from the management experience of foreign advanced commercial banks and establish a set of advanced and mature internal capital management system of commercial banks. As the international modern and scientific internal fund management mode of commercial banks, (Funds Transfer Pricing, (Internal Capital transfer pricing) transfers funds in full compensation between commercial banks' internal capital centers and business operation units through certain rules. It plays an important role in the centralized management of interest rate risk of commercial banks, the promotion of pricing level of financial products and the optimization of performance evaluation. At present, the research on the internal capital transfer pricing of Chinese commercial banks is not long and perfect, and the marketization of interest rate is not thorough enough, and a set of modern scientific and rigorous pricing theoretical framework and a price system of practical significance have not yet been formed. Therefore, it is necessary to continue to carry out in-depth research. In this paper, the definition, operation mechanism, basic mode and function of the internal capital transfer pricing of commercial banks are briefly introduced, and the present situation of the internal capital management of commercial banks is introduced. The feasibility of implementing the internal transfer pricing system in China is analyzed in terms of realistic conditions and necessity. On the one hand, the traditional management mode of the difference fund can not meet the needs of modern commercial banks in asset liability management and performance evaluation. On the other hand, the reform of internal capital transfer pricing in China will be the trend of the times. Next, based on the two different marketization degree of interest rate under the central bank's benchmark interest rate, the paper constructs the FTP curve of the internal capital transfer pricing, respectively, on the basis of the two different marketization degree of the interest rate incomplete marketization system and the complete interest rate marketization system under the central bank benchmark interest rate. The steps from FTP pricing method to FTP adjustment term are analyzed in detail, so that commercial banks can choose the most suitable FTP curve construction method and FTP pricing method according to their own management and business characteristics. To improve the accuracy and rationality of internal capital transfer pricing in order to fully improve the efficiency of commercial banks in the use of funds. Finally, according to the actual situation of China's financial market, the paper puts forward some suggestions for perfecting the internal transfer pricing of funds, which has a strong guiding significance for the actual operation of Chinese commercial banks.
【学位授予单位】：南京财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.33;F830.42
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