中国建设银行内部资金转移计价体系的研究与完善

发布时间：2018-10-10 12:33

【摘要】：利率市场化是建设社会主义市场经济、发挥市场配置资源作用的重要议题,也是实现金融机构自主经营、提高核心竞争力的必要条件。随着利率市场化改革的进程逐渐加快,商业银行将从依赖央行的存贷款利率指导定价,演变为在市场供求关系中自主定价。与此同时,衡量银行内部资金运用的成本与收益的内部资金转移定价体系,也面临着大规模的改革,该体系的成熟与否,直接关系到商业银行的同业竞争力,同时,也影响到系统内各条线各部门的综合收益及风险控制水平。目前在国内商业银行的内部资金转移价格体系中,比较多采用的是全额计价模式,即对资产负债表中所有的生息项目进行会计核算。但该模式的定价基础主要取决于央行公布的存贷款基准利率,对市场的资金供求状况反应存在时滞,一旦利率市场化正式实施,现有的计价体系恐难以胜任新形势下的价格标准和计价要求。本文以中国建设银行实际的经营状况为例,结合外部市场的收益率数据,分析探讨如何在现有的环境下摆脱央行基准利率的束缚,寻找到更加符合市场未来发展的内部收益率曲线。利用该曲线,商业银行可以找到每一期限产品对应的内部转移价格,避免盲目地凭主观臆断定价,具体的实施步骤可分为：确定基准利率曲线、风险因素调整(包括信用风险、准备金成本、操作资金成本、流动性风险、战略因素)、价格整理与曲线拟合等等,并对相关配套措施进行了可行性分析,进而提出相关对策和建议。不同于以往对银行内部资金转移定价一般以理论研究为主,本文的特色在于：通过对中国建设银行进行案例研究,运用其内部的实际经营数据进行分析,前瞻性地揭示了目前建行所沿用的内部资金转移计价体系存在着局限性；进而强调引入新一代内部资转移定价体系的必要性及紧迫性；并结合对市场客观环境的分析提出了构建FTP曲线的实施步骤与配套措施：最后引申出对其它商业银行的启示意义。本文不足之处在于：对构建内部资金收益率曲线的数据验证还不够充分,对应用研究也不够深入,有待进一步改善与提高。
[Abstract]:Interest rate marketization is an important issue in constructing socialist market economy and exerting the role of market allocation of resources. It is also a necessary condition for financial institutions to operate independently and improve their core competitiveness. With the gradual acceleration of the reform of interest rate marketization, commercial banks will change from relying on the central bank's deposit and loan interest rate to pricing independently in the market supply and demand relationship. At the same time, the internal capital transfer pricing system, which measures the cost and income of the bank's internal capital utilization, is also facing a large-scale reform. The maturity of the system is directly related to the commercial banks' interbank competitiveness, and at the same time, It also affects the comprehensive income and risk control level of each department in the system. At present, in the internal capital transfer price system of domestic commercial banks, the full pricing model is used, that is, the accounting of all the interest-bearing items in the balance sheet. However, the pricing basis of this model mainly depends on the benchmark interest rate of deposit and loan announced by the central bank, and there is a delay in responding to the market's supply and demand of funds. Once the interest rate is marketized, The existing pricing system may not be competent for the new situation under the price standards and pricing requirements. Taking China Construction Bank as an example, this paper analyzes and discusses how to get rid of the bondage of the central bank's benchmark interest rate under the existing environment, combining with the data of the external market's yield. To find more in line with the future development of the market internal yield curve. Using this curve, commercial banks can find the internal transfer price corresponding to each limited product, and avoid blindly relying on subjective pricing. The specific implementation steps can be divided into: determining the benchmark interest rate curve, adjusting risk factors (including credit risk, etc.) Reserve cost, operating capital cost, liquidity risk, strategic factors), price arrangement and curve fitting, etc., and the feasibility of relevant supporting measures are analyzed, and the relevant countermeasures and suggestions are put forward. Different from the previous studies on the internal capital transfer pricing of banks, the characteristics of this paper are: through the case study of China Construction Bank, using its internal actual management data to analyze, It reveals the limitations of the internal capital transfer pricing system used by CCB at present, and emphasizes the necessity and urgency of introducing a new generation of internal capital transfer pricing system. Combined with the analysis of the market objective environment, the paper puts forward the implementation steps and supporting measures of constructing the FTP curve: finally, the implications for other commercial banks are extended. The deficiency of this paper lies in: the data verification of constructing the internal capital return curve is not enough, and the application research is not deep enough, which needs to be further improved and improved.
【学位授予单位】：华东师范大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.2

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