我国商业银行资金转移定价研究
发布时间：2018-08-09 17:24
【摘要】：进入21世纪，我国利率市场化改革的步伐不断加快，对国内商业银行的经营管理带来严峻的考验。再加上银行全功能化发展趋势、日益深化的金融脱媒和金融监管，使得商业银行在利率市场化大背景下暴露出其内部经营管理上的缺陷和问题。这倒逼和促使国内商业银行不断改善经营管理方式，不断提高内部经营管理能力和资产负债管理水平。资金转移定价作为一种较为先进的内部经营管理模式，为国内外商业银行所认可和运用。资金转移定价是指商业银行内部资金管理中心按照一定规则与业务单位进行全额的、有偿的进行资金转移，以达到核算资金成本或收益、集中管理利率风险等目的的一种内部经营管理模式。商业银行实施资金转移定价，有利于商业银行分离并集中管理利率风险，有利于商业银行优化资源配置，有利于商业银行提高产品业务的定价能力，有利于商业银行优化内部绩效考核体系。 本文的研究采用了理论分析与实证分析相结合的方法。理论分析方面，本文介绍和分析了资金转移定价的基本理论，包括其内涵、定价模式、定价方法，为我国商业银行实施资金转移定价奠定理论基础，其中通过举例分析了资金转移定价对商业银行业务经营中分离并集中管理利率风险，提升资产负债管理水平的重要作用。实证分析方面，分析国内外商业银行实施资金转移定价的现状及其不足，提出我国商业银行构建FTP曲线，实施FTP管理的设计思路：按照我国商业银行产品业务的特性，构建人民币存贷款产品FTP曲线、人民币市场化产品FTP曲线和外币产品业务FTP曲线。在FTP曲线构建基础上，，各商业银行可以从流动性溢价、信用风险和战略等角度对基础FTP价格进行调整，设定合适的FTP调整项，生成产品业务的最终FTP价格。本文也以国内某商业银行实行FTP管理为例，分析该商业银行分支机构运用FTP从客户、行业、产品角度对其经营决策的影响及不足，为我国商业银行实施和完善FTP提出几点建议。
[Abstract]:In the 21 ~ (st) century, the pace of interest rate marketization reform in China has been quickened, which brings a severe test to the management of domestic commercial banks. In addition, with the trend of full-functional development of banks and the deepening of financial disintermediation and financial supervision, commercial banks have exposed the defects and problems in their internal management under the background of interest rate marketization. This forces and urges the domestic commercial banks to continuously improve the management mode, the internal management ability and the assets and liabilities management level. As a more advanced internal management mode, capital transfer pricing is recognized and applied by commercial banks at home and abroad. Capital transfer pricing means that the internal fund management center of a commercial bank carries out a full amount of capital transfer with the business unit in accordance with certain rules, in order to achieve the accounting of the capital cost or income, An internal management model for the purpose of centralized management of interest rate risk. The implementation of capital transfer pricing by commercial banks is conducive to the separation and centralized management of interest rate risks by commercial banks, the optimization of resource allocation by commercial banks, and the enhancement of pricing capacity of commercial banks in product business. Commercial banks to optimize the internal performance appraisal system. The research of this paper adopts the method of combining theoretical analysis with empirical analysis. In terms of theoretical analysis, this paper introduces and analyzes the basic theory of capital transfer pricing, including its connotation, pricing model, pricing methods, and lays a theoretical foundation for the implementation of capital transfer pricing in Chinese commercial banks. The paper analyzes the important role of fund transfer pricing in separating and centralizing the management of interest rate risk and improving the management level of assets and liabilities. In the aspect of empirical analysis, this paper analyzes the present situation and deficiency of domestic and foreign commercial banks implementing the transfer pricing of funds, and puts forward the design ideas of constructing FTP curve and implementing FTP management in China's commercial banks: according to the characteristics of commercial banks' product business in our country, The FTP curve of RMB deposit and loan products, the FTP curve of RMB market-oriented products and the FTP curve of foreign currency product business are constructed. On the basis of FTP curve construction, commercial banks can adjust the base FTP price from the aspects of liquidity premium, credit risk and strategy, set appropriate FTP adjustment items, and generate the final FTP price of product business. This article also takes the domestic commercial bank to implement the FTP management as an example, analyzes the commercial bank branch organization to use the FTP from the customer, the profession, the product angle to its management decision-making influence and the insufficiency, puts forward several suggestions for our country commercial bank to implement and consummate the FTP.
【学位授予单位】：集美大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.33;F830.42
本文编号：2174788
[Abstract]:In the 21 ~ (st) century, the pace of interest rate marketization reform in China has been quickened, which brings a severe test to the management of domestic commercial banks. In addition, with the trend of full-functional development of banks and the deepening of financial disintermediation and financial supervision, commercial banks have exposed the defects and problems in their internal management under the background of interest rate marketization. This forces and urges the domestic commercial banks to continuously improve the management mode, the internal management ability and the assets and liabilities management level. As a more advanced internal management mode, capital transfer pricing is recognized and applied by commercial banks at home and abroad. Capital transfer pricing means that the internal fund management center of a commercial bank carries out a full amount of capital transfer with the business unit in accordance with certain rules, in order to achieve the accounting of the capital cost or income, An internal management model for the purpose of centralized management of interest rate risk. The implementation of capital transfer pricing by commercial banks is conducive to the separation and centralized management of interest rate risks by commercial banks, the optimization of resource allocation by commercial banks, and the enhancement of pricing capacity of commercial banks in product business. Commercial banks to optimize the internal performance appraisal system. The research of this paper adopts the method of combining theoretical analysis with empirical analysis. In terms of theoretical analysis, this paper introduces and analyzes the basic theory of capital transfer pricing, including its connotation, pricing model, pricing methods, and lays a theoretical foundation for the implementation of capital transfer pricing in Chinese commercial banks. The paper analyzes the important role of fund transfer pricing in separating and centralizing the management of interest rate risk and improving the management level of assets and liabilities. In the aspect of empirical analysis, this paper analyzes the present situation and deficiency of domestic and foreign commercial banks implementing the transfer pricing of funds, and puts forward the design ideas of constructing FTP curve and implementing FTP management in China's commercial banks: according to the characteristics of commercial banks' product business in our country, The FTP curve of RMB deposit and loan products, the FTP curve of RMB market-oriented products and the FTP curve of foreign currency product business are constructed. On the basis of FTP curve construction, commercial banks can adjust the base FTP price from the aspects of liquidity premium, credit risk and strategy, set appropriate FTP adjustment items, and generate the final FTP price of product business. This article also takes the domestic commercial bank to implement the FTP management as an example, analyzes the commercial bank branch organization to use the FTP from the customer, the profession, the product angle to its management decision-making influence and the insufficiency, puts forward several suggestions for our country commercial bank to implement and consummate the FTP.
【学位授予单位】：集美大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.33;F830.42
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