【摘要】：在中國利率市場化進(jìn)程不斷推進(jìn)背景下，中國商業(yè)銀行面臨利率風(fēng)險(xiǎn)程度將不斷加深，從而會引起一系列諸如風(fēng)險(xiǎn)管理、產(chǎn)品定價(jià)和銀行績效考評等問題。因此，借鑒國外先進(jìn)的商業(yè)銀行管理經(jīng)驗(yàn)，建立一套先進(jìn)的、成熟的商業(yè)銀行內(nèi)部資金管理體系對于中國商業(yè)銀行的穩(wěn)健發(fā)展具有十分重要的意義。內(nèi)部資金轉(zhuǎn)移定價(jià)（Funds Transfer Pricing，簡稱FTP）作為國際上現(xiàn)代化科學(xué)的商業(yè)銀行內(nèi)部資金管理模式，通過一定的規(guī)則在商業(yè)銀行內(nèi)部資金中心與業(yè)務(wù)經(jīng)營單位之間全額有償轉(zhuǎn)移資金，對商業(yè)銀行利率風(fēng)險(xiǎn)集中管理、提升金融產(chǎn)品定價(jià)水平以及優(yōu)化績效評價(jià)方面有著非常重要的作用。目前，中國商業(yè)銀行內(nèi)部資金轉(zhuǎn)移定價(jià)方面的研究時(shí)間不長、不夠完善，利率市場化也不夠徹底，尚未形成一整套現(xiàn)代科學(xué)嚴(yán)謹(jǐn)?shù)亩▋r(jià)理論框架與實(shí)際操作意義的價(jià)格體系，因此，有必要繼續(xù)進(jìn)行深入的研究。 本文首先對商業(yè)銀行內(nèi)部資金轉(zhuǎn)移定價(jià)的定義、運(yùn)作機(jī)制、基本模式和功能作用等相關(guān)理論基礎(chǔ)進(jìn)行了簡單的介紹，并通過對商業(yè)銀行內(nèi)部資金管理的現(xiàn)狀、現(xiàn)實(shí)條件與必要性等方面，進(jìn)行了在中國推行內(nèi)部資金轉(zhuǎn)移定價(jià)體系的可行性分析。分析得出，一方面，傳統(tǒng)式的上存下借的差額資金管理模式已經(jīng)不能滿足現(xiàn)代商業(yè)銀行資產(chǎn)負(fù)債管理與績效評價(jià)等方面的需要；另一方面，在中國進(jìn)行內(nèi)部資金轉(zhuǎn)移定價(jià)的改革將是大勢所趨。接下來，文章以在央行基準(zhǔn)利率下的利率未完全市場化體系與完全的利率市場化體系兩種不同的市場化程度為基礎(chǔ)，分別按照構(gòu)建內(nèi)部資金轉(zhuǎn)移定價(jià)的FTP曲線、FTP定價(jià)方法直至FTP調(diào)整項(xiàng)的步驟進(jìn)行了全面、詳細(xì)的分析，以便商業(yè)銀行結(jié)合自身經(jīng)營及業(yè)務(wù)特點(diǎn)選擇最合適的FTP曲線構(gòu)建方法和FTP定價(jià)方法，提高自身內(nèi)部資金轉(zhuǎn)移定價(jià)的準(zhǔn)確性和合理性，以使得充分提高商業(yè)銀行的資金使用效率。最后，，文章結(jié)合中國金融市場的實(shí)際情況，提出推行內(nèi)部資金轉(zhuǎn)移定價(jià)的完善性建議，對中國商業(yè)銀行的實(shí)際運(yùn)作有很強(qiáng)的指導(dǎo)意義。
[Abstract]:Under the background of Chinese interest rate marketization, the degree of interest rate risk of Chinese commercial banks will be deepened, which will lead to a series of problems such as risk management, product pricing and bank performance evaluation. Therefore, it is of great significance for the steady development of Chinese commercial banks to learn from the management experience of foreign advanced commercial banks and establish a set of advanced and mature internal capital management system of commercial banks. As the international modern and scientific internal fund management mode of commercial banks, (Funds Transfer Pricing, (Internal Capital transfer pricing) transfers funds in full compensation between commercial banks' internal capital centers and business operation units through certain rules. It plays an important role in the centralized management of interest rate risk of commercial banks, the promotion of pricing level of financial products and the optimization of performance evaluation. At present, the research on the internal capital transfer pricing of Chinese commercial banks is not long and perfect, and the marketization of interest rate is not thorough enough, and a set of modern scientific and rigorous pricing theoretical framework and a price system of practical significance have not yet been formed. Therefore, it is necessary to continue to carry out in-depth research. In this paper, the definition, operation mechanism, basic mode and function of the internal capital transfer pricing of commercial banks are briefly introduced, and the present situation of the internal capital management of commercial banks is introduced. The feasibility of implementing the internal transfer pricing system in China is analyzed in terms of realistic conditions and necessity. On the one hand, the traditional management mode of the difference fund can not meet the needs of modern commercial banks in asset liability management and performance evaluation. On the other hand, the reform of internal capital transfer pricing in China will be the trend of the times. Next, based on the two different marketization degree of interest rate under the central bank's benchmark interest rate, the paper constructs the FTP curve of the internal capital transfer pricing, respectively, on the basis of the two different marketization degree of the interest rate incomplete marketization system and the complete interest rate marketization system under the central bank benchmark interest rate. The steps from FTP pricing method to FTP adjustment term are analyzed in detail, so that commercial banks can choose the most suitable FTP curve construction method and FTP pricing method according to their own management and business characteristics. To improve the accuracy and rationality of internal capital transfer pricing in order to fully improve the efficiency of commercial banks in the use of funds. Finally, according to the actual situation of China's financial market, the paper puts forward some suggestions for perfecting the internal transfer pricing of funds, which has a strong guiding significance for the actual operation of Chinese commercial banks.
【學(xué)位授予單位】：南京財(cái)經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.33;F830.42

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