商业银行内部资金转移定价实务研究

发布时间：2018-04-30 13:31

本文选题：内部资金转移定价 + 收益率曲线　；参考：《上海交通大学》2015年硕士论文

【摘要】：2014年以来,央行多次对存贷款利率政策进行了调整,存贷款利率已逐渐走向利率市场化的阶段,正慢慢与国际接轨。但是,对银行来说,利率市场化进程地不断加快会对银行盈利能力提出严峻的挑战。自从结构性存款出现后,银行吸收存款的平均成本出现了不同程度的上升,使得银行的融资成本提高。在这样的背景下,银行需要未雨绸缪,作好充分的准备来迎接这些挑战。银行的管理层也需要居安思危,思考如何通过产品业务多元化使银行的盈利水平保持稳定增长,如何针对外部金融环境的变化及时改变管理策略应对危机,如何有效调整长期战略才能使银行的价值最大化。这一切,没有数据的支持是无法得出科学合理的结论的。内部资金转移定价是将利率风险管理、流动性风险管理、产品定价、资源配置和绩效考核结合起来的一种有效的综合管理会计工具。构建一套完整的内部资金转移定价体系可以帮助银行实现日常管理和战略制定等一系列目标。但是,要建立一套完整的内部资金转移定价体系是十分复杂的,在构建的过程中从收益率曲线的选择,到定价方法的制定,再到调整因素范围的确定,很多国内银行可能都是一知半解。而且,当外部经济环境充满不确定性,监管政策又变得越来越严格的时候,许多银行不知道该如何调整内部资金转移定价体系来应对这些变化。本文首先从理论研究出发,对整个内部资金转移定价的框架进行阐述。然后结合对欧洲15家银行调研的数据,归纳总结后,将国外银行构建内部资金转移定价体系的思路和关键点一一罗列出来,尤其是国外银行目前构建内部转移定价体系时最关注的流动性资产储备和行为预期调整,都在文中进行了说明。最后,将理论研究和国外先进的经验引用到国内银行,建立一套适合国内银行使用的内部资金转移定价体系,包括解决银行在实务中遇到的许多细节问题,如通过内部资金转移定价调节分行或业务条线的存贷比、通过内部资金转移定价调节流动性等。总之,希望通过本文的叙述能够帮助国内银行更好地理解内部资金转移定价的理念,构建一套满足国内需求的框架体系,应对未来的挑战。
[Abstract]:Since 2014, the central bank has adjusted the policy of deposit and loan interest rate many times, and the interest rate of deposit and loan has gradually moved to the stage of marketization of interest rate, and is slowly in line with the international standard. However, for banks, accelerating the process of interest rate marketization will pose a severe challenge to the profitability of banks. Since the emergence of structured deposits, the average cost of absorbing deposits has risen to varying degrees, which has increased the financing costs of banks. Against this backdrop, banks need to be prepared and well prepared to meet these challenges. Bank management also needs to be vigilant, thinking about how to maintain a steady increase in bank profitability through product diversification, and how to respond to the crisis by changing management strategies in a timely manner in response to changes in the external financial environment. How to adjust the long-term strategy effectively to maximize the value of the bank. All this, without the support of data is unable to reach a scientific and reasonable conclusion. Internal capital transfer pricing is an effective comprehensive management accounting tool which combines interest rate risk management, liquidity risk management, product pricing, resource allocation and performance evaluation. A complete set of internal capital transfer pricing system can help banks achieve a series of goals such as daily management and strategy formulation. However, it is very complicated to establish a complete set of internal capital transfer pricing system. In the process of construction, from the choice of yield curve to the formulation of pricing method, to the determination of the range of adjustment factors, Many domestic banks may be half-aware. And while the external economic environment is fraught with uncertainty and regulatory policy is getting tighter, many banks do not know how to adjust their internal money transfer pricing systems to cope with these changes. In this paper, the framework of the whole internal capital transfer pricing is expounded from the theoretical research. Then, combining the data of 15 banks in Europe, after summing up, the ideas and key points of foreign banks to construct the internal transfer pricing system of funds are listed out one by one. Especially, the foreign banks pay more attention to the liquidity asset reserve and behavior expectation adjustment when they set up the internal transfer pricing system. Finally, the theoretical research and advanced experience of foreign countries are applied to domestic banks to establish a set of internal transfer pricing system suitable for domestic banks, including solving many detailed problems encountered by banks in practice. For example, the deposit / loan ratio of branch or business line is adjusted by internal fund transfer pricing, and liquidity is adjusted by internal fund transfer pricing. In a word, it is hoped that this paper can help domestic banks to better understand the concept of internal capital transfer pricing, to build a framework system to meet domestic demand, and to meet the challenges in the future.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.33

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