本文選題：內(nèi)部資金轉(zhuǎn)移定價 + 收益率曲線��； 參考：《上海交通大學》2015年碩士論文

【摘要】：2014年以來,央行多次對存貸款利率政策進行了調(diào)整,存貸款利率已逐漸走向利率市場化的階段,正慢慢與國際接軌。但是,對銀行來說,利率市場化進程地不斷加快會對銀行盈利能力提出嚴峻的挑戰(zhàn)。自從結(jié)構性存款出現(xiàn)后,銀行吸收存款的平均成本出現(xiàn)了不同程度的上升,使得銀行的融資成本提高。在這樣的背景下,銀行需要未雨綢繆,作好充分的準備來迎接這些挑戰(zhàn)。銀行的管理層也需要居安思危,思考如何通過產(chǎn)品業(yè)務多元化使銀行的盈利水平保持穩(wěn)定增長,如何針對外部金融環(huán)境的變化及時改變管理策略應對危機,如何有效調(diào)整長期戰(zhàn)略才能使銀行的價值最大化。這一切,沒有數(shù)據(jù)的支持是無法得出科學合理的結(jié)論的。內(nèi)部資金轉(zhuǎn)移定價是將利率風險管理、流動性風險管理、產(chǎn)品定價、資源配置和績效考核結(jié)合起來的一種有效的綜合管理會計工具。構建一套完整的內(nèi)部資金轉(zhuǎn)移定價體系可以幫助銀行實現(xiàn)日常管理和戰(zhàn)略制定等一系列目標。但是,要建立一套完整的內(nèi)部資金轉(zhuǎn)移定價體系是十分復雜的,在構建的過程中從收益率曲線的選擇,到定價方法的制定,再到調(diào)整因素范圍的確定,很多國內(nèi)銀行可能都是一知半解。而且,當外部經(jīng)濟環(huán)境充滿不確定性,監(jiān)管政策又變得越來越嚴格的時候,許多銀行不知道該如何調(diào)整內(nèi)部資金轉(zhuǎn)移定價體系來應對這些變化。本文首先從理論研究出發(fā),對整個內(nèi)部資金轉(zhuǎn)移定價的框架進行闡述。然后結(jié)合對歐洲15家銀行調(diào)研的數(shù)據(jù),歸納總結(jié)后,將國外銀行構建內(nèi)部資金轉(zhuǎn)移定價體系的思路和關鍵點一一羅列出來,尤其是國外銀行目前構建內(nèi)部轉(zhuǎn)移定價體系時最關注的流動性資產(chǎn)儲備和行為預期調(diào)整,都在文中進行了說明。最后,將理論研究和國外先進的經(jīng)驗引用到國內(nèi)銀行,建立一套適合國內(nèi)銀行使用的內(nèi)部資金轉(zhuǎn)移定價體系,包括解決銀行在實務中遇到的許多細節(jié)問題,如通過內(nèi)部資金轉(zhuǎn)移定價調(diào)節(jié)分行或業(yè)務條線的存貸比、通過內(nèi)部資金轉(zhuǎn)移定價調(diào)節(jié)流動性等。總之,希望通過本文的敘述能夠幫助國內(nèi)銀行更好地理解內(nèi)部資金轉(zhuǎn)移定價的理念,構建一套滿足國內(nèi)需求的框架體系,應對未來的挑戰(zhàn)。
[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.
【學位授予單位】：上海交通大學
【學位級別】：碩士
【學位授予年份】：2015
【分類號】：F832.33

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