發(fā)布時(shí)間：2018-04-30 13:31

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

【摘要】：2014年以來(lái),央行多次對(duì)存貸款利率政策進(jìn)行了調(diào)整,存貸款利率已逐漸走向利率市場(chǎng)化的階段,正慢慢與國(guó)際接軌。但是,對(duì)銀行來(lái)說(shuō),利率市場(chǎng)化進(jìn)程地不斷加快會(huì)對(duì)銀行盈利能力提出嚴(yán)峻的挑戰(zhàn)。自從結(jié)構(gòu)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(zhǔn)備來(lái)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(guò)產(chǎn)品業(yè)務(wù)多元化使銀行的盈利水平保持穩(wěn)定增長(zhǎng),如何針對(duì)外部金融環(huán)境的變化及時(shí)改變管理策略應(yīng)對(duì)危機(jī),如何有效調(diào)整長(zhǎng)期戰(zhàn)略才能使銀行的價(jià)值最大化。這一切,沒(méi)有數(shù)據(jù)的支持是無(wú)法得出科學(xué)合理的結(jié)論的。內(nèi)部資金轉(zhuǎn)移定價(jià)是將利率風(fēng)險(xiǎn)管理、流動(dòng)性風(fēng)險(xiǎn)管理、產(chǎn)品定價(jià)、資源配置和績(jī)效考核結(jié)合起來(lái)的一種有效的綜合管理會(huì)計(jì)工具。構(gòu)建一套完整的內(nèi)部資金轉(zhuǎn)移定價(jià)體系可以幫助銀行實(shí)現(xiàn)日常管理和戰(zhàn)略制定等一系列目標(biāo)。但是,要建立一套完整的內(nèi)部資金轉(zhuǎn)移定價(jià)體系是十分復(fù)雜的,在構(gòu)建的過(guò)程中從收益率曲線的選擇,到定價(jià)方法的制定,再到調(diào)整因素范圍的確定,很多國(guó)內(nèi)銀行可能都是一知半解。而且,當(dāng)外部經(jīng)濟(jì)環(huán)境充滿不確定性,監(jiān)管政策又變得越來(lái)越嚴(yán)格的時(shí)候,許多銀行不知道該如何調(diào)整內(nèi)部資金轉(zhuǎn)移定價(jià)體系來(lái)應(yīng)對(duì)這些變化。本文首先從理論研究出發(fā),對(duì)整個(gè)內(nèi)部資金轉(zhuǎn)移定價(jià)的框架進(jìn)行闡述。然后結(jié)合對(duì)歐洲15家銀行調(diào)研的數(shù)據(jù),歸納總結(jié)后,將國(guó)外銀行構(gòu)建內(nèi)部資金轉(zhuǎn)移定價(jià)體系的思路和關(guān)鍵點(diǎn)一一羅列出來(lái),尤其是國(guó)外銀行目前構(gòu)建內(nèi)部轉(zhuǎn)移定價(jià)體系時(shí)最關(guān)注的流動(dòng)性資產(chǎn)儲(chǔ)備和行為預(yù)期調(diào)整,都在文中進(jìn)行了說(shuō)明。最后,將理論研究和國(guó)外先進(jìn)的經(jīng)驗(yàn)引用到國(guó)內(nèi)銀行,建立一套適合國(guó)內(nèi)銀行使用的內(nèi)部資金轉(zhuǎn)移定價(jià)體系,包括解決銀行在實(shí)務(wù)中遇到的許多細(xì)節(jié)問(wèn)題,如通過(guò)內(nèi)部資金轉(zhuǎn)移定價(jià)調(diào)節(jié)分行或業(yè)務(wù)條線的存貸比、通過(guò)內(nèi)部資金轉(zhuǎn)移定價(jià)調(diào)節(jié)流動(dòng)性等。總之,希望通過(guò)本文的敘述能夠幫助國(guó)內(nèi)銀行更好地理解內(nèi)部資金轉(zhuǎn)移定價(jià)的理念,構(gòu)建一套滿足國(guó)內(nèi)需求的框架體系,應(yīng)對(duì)未來(lái)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(xué)位授予單位】：上海交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2015
【分類號(hào)】：F832.33

【相似文獻(xiàn)】

相關(guān)期刊論文 前10條

1 陸兵;王力偉;;農(nóng)發(fā)行實(shí)施內(nèi)部資金轉(zhuǎn)移定價(jià)的初步設(shè)想[J];農(nóng)業(yè)發(fā)展與金融;2009年05期

2 白雪峰;;內(nèi)部資金轉(zhuǎn)移定價(jià)淺說(shuō)[J];中國(guó)農(nóng)村信用合作;2009年10期

3 岳旭宙;楊霞;;資金轉(zhuǎn)移定價(jià)理論實(shí)踐的四個(gè)關(guān)鍵問(wèn)題研究[J];金融理論與實(shí)踐;2010年11期

4 蔣湘伶;;我國(guó)商業(yè)銀行內(nèi)部資金轉(zhuǎn)移定價(jià)機(jī)制建設(shè)情況探析[J];金融與經(jīng)濟(jì);2012年08期

5 王柯;商業(yè)銀行內(nèi)部資金轉(zhuǎn)移定價(jià)體系淺析[J];外國(guó)經(jīng)濟(jì)與管理;1999年11期

6 盧靜;王善君;;淺議利率市場(chǎng)化趨勢(shì)下銀行內(nèi)部資金轉(zhuǎn)移定價(jià)[J];浙江金融;2014年04期

7 金鐸;;商業(yè)銀行內(nèi)部資金轉(zhuǎn)移定價(jià)研究[J];經(jīng)濟(jì)研究導(dǎo)刊;2008年16期

8 吳曉輝;;內(nèi)部資金轉(zhuǎn)移定價(jià)體系的應(yīng)用[J];銀行家;2008年03期

9 楊一俊;;試論商業(yè)銀行內(nèi)部資金轉(zhuǎn)移定價(jià)[J];中國(guó)高新技術(shù)企業(yè);2008年06期

10 霍華英;;商業(yè)銀行內(nèi)部資金轉(zhuǎn)移定價(jià)體系淺析[J];河北金融;2008年05期

相關(guān)重要報(bào)紙文章 前7條

1 趙蕾　張慧;商業(yè)銀行內(nèi)部資金轉(zhuǎn)移定價(jià)方式探析[N];中華工商時(shí)報(bào);2012年

2 通訊員陳偉;進(jìn)一步完善績(jī)效考評(píng)機(jī)制[N];中國(guó)城鄉(xiāng)金融報(bào);2011年

3 ;華東某商業(yè)銀行管理信息系統(tǒng)案例[N];電腦商報(bào);2008年

4 張朝芳 段盼盼;激發(fā)經(jīng)營(yíng)管理潛力[N];中國(guó)農(nóng)村信用合作報(bào);2014年

5 ;商業(yè)銀行風(fēng)險(xiǎn)管理有三不足[N];中國(guó)改革報(bào);2003年

6 記者 石貝貝;利率市場(chǎng)化倒逼外資行加快戰(zhàn)略轉(zhuǎn)型[N];上海證券報(bào);2014年

7 毛歡喜;商業(yè)銀行風(fēng)險(xiǎn)管理有三不足[N];經(jīng)濟(jì)參考報(bào);2003年

相關(guān)博士學(xué)位論文 前2條

1 王魯濱;商業(yè)銀行內(nèi)部資金轉(zhuǎn)移定價(jià)研究[D];西南財(cái)經(jīng)大學(xué);2010年

2 馬碩;商業(yè)銀行內(nèi)部資金轉(zhuǎn)移定價(jià)問(wèn)題研究[D];西南財(cái)經(jīng)大學(xué);2012年

相關(guān)碩士學(xué)位論文 前10條

1 張楠s，

本文編號(hào)：1824745