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1、上海交通大学MBA学位论文商业银行内部资金转移定价实务研究ANALYSISONFUNDTRANSFERPRICINGOFCOMMERICALBANKSINPRACTICEABSTRACTPeople'sBankofChina(PBOC)hasadjustedbenchmarkinterestrateofloananddepositssince2014.Theinterestrateofloananddepositshasbeengraduallymovingtowardsinterestrateliberalisation.However,thebankha
2、vetofaceseriouschallengesonprofitabilitygivenaccelerationofinterestrateliberalisation.Sincetheemergenceofstructureddeposits,theaveragecostofbankstakingdepositsishigherthanbefore,increasingoverallfundingcostintheend.Inthiscontext,banksneedtobefullypreparedtofacethechallenges.Thetopm
3、anagementofbankshavetoconsiderhowtostabilisegrowthbydiversificationofproductsandbusiness,howtoimprovemanagementstrategytodealwithcrisisduetochangeofexternalfinancialconditionsandhowtoeffectivelyadjustlong-termstrategytomaketomaximizebanks'value.Thereisnoconclusionwithoutfinancialda
4、ta.Internalfundingtransferpricing(FTP)isakindofeffectivemanagementaccountingtoolforinterestrateriskmanagement,liquidityriskmanagement,productpricing,resourceallocationandperformanceassessment.ItisabletoachievedailyoperatingmanagementandstrategyformulationwithafullsetofFTPframework.
5、However,itisprettymuchcomplicatedtoconstructasystemofFTPinthebanks.Intheprocessofconstruction,youhavetosolvelotsofproblemssuchasselectionofyieldcurve,setupofpricingmethodologytogetherwithdeterminationofscopeofadjustmentsfactors.Moreover,givenuncertaintiesofexternaleconomyconditions
6、,thesupervisionpolicyhasbeenincreasinglystrict.ThebankshavenoideahowtoadjustFTPsystemtoreactthesechanges.III万方数据上海交通大学MBA学位论文商业银行内部资金转移定价实务研究ThearticleisinitiatedfromfundamentaltheoryofFTP,demonstratingwholeframeworkofFTPintheory.Then,Isummarythesurveyof15EuropeanbanksregardingFTPa
7、ndillustratekeypointsandhighlightsuchasliquidityassetsbufferandbehavioraladjustment.Finally,FundamentaltheorytogetherwithadvancedexperienceofforeignbanksareappliedtoconstructingFTPsystemforlocalbanks.WewouldliketosetupamechanismfittingtolocalbankinfavorofimprovingLoantodepositsrati
8、oofbranchesaswellasbusines
