【作者】 闫鹏；

【导师】 徐涛；

【作者基本信息】 山东大学 ， 金融学， 2013， 硕士

【摘要】 近年来,各界对于加快推进利率市场化的呼声日益高涨,它是一个正在发生的过程,并有加速推进的态势。利率市场化有助于解决资金错配现象,为商业银行的业务发展带来新的机遇,但同时也会对商业银行传统的经营模式、利率风险管理能力和资金价格管理能力带来巨大的挑战。如果利率市场化全速推进,商业银行需要突破以来传统存贷业务的发展模式,调整信贷结构。与此同时,利率市场化带来利率风险的增加,这对商业银行的利率定价管理能力带来了考验。西方商业银行采用了内部资金转移定价的方法作为利率定价管理的核心,以此来最大限度避免利率波动对银行的净利息收入和资本净值的影响。而通过完善内部资金转移定价方法,可以使商业银行在利率市场化的条件下合理确定存贷款利率,有效防范利率风险。利率市场化对于商业银行而言是把双刃剑,它会打破金融机构的垄断利润,降低存贷款息差收入,加剧存贷款业务的市场竞争激烈程度,在短时期内对于资金管理能力较弱的中小银行打击较大。与此同时,利率市场化也将逼迫商业银行进行改革,完善自身资金管理体制,制定合理的产品定价机制,提高利率定价水平,提升自身竞争实力。其中,内部资金转移定价能力和存贷款利率定价能力较为关键,将决定商业银行在利率市场化后发展前景。内部资金转移定价是商业银行利率风险管理的一项重要工具。它不仅为银行存贷款定价提供依据,还改变了商业银行利率风险的管理方式。引入了内部资金转移定价后,相当于在银行内部建立了一个虚拟资金交易市场。由于内部资金转移价格可以充分考虑期限成本等利率风险因素,因此,可通过内部资金交易将利率风险从业务部门分离至资产负债管理部门,实现了由资产负债管理部门统一管理全行的利率风险,而存贷款部门不需要考虑市场利率的变动和银行整体的资产负债结构。我国商业银行贷款由于受到央行区间控制,自主定价能力较弱,这决定了我国商业银行不能照搬西方成熟方法应根据我国金融市场发展状况及自身定价能力的设计合理的贷款定价方法与贷款定价模型。我国商业银行的目标决定了银行必须统筹考虑其资金成本控制,风险控制,客户维护以及自身资产负债水平四大要求对贷款进行定价,并以定价为核心确定贷款战略。更多还原

【Abstract】 In recent years, more and more people want accelerate the marketization of interest rates, it is an ongoing process, and we can see that there is accelerating the trend. Interest rate marketization helps to solve the funding mismatch phenomenon, bring new opportunities for commercial Banks, but also brings a huge challenge to the traditional business model, the interest rate risk management ability and capital price management of commercial bank. If the interest rate marketization forward at full speed, since commercial Banks need to break through the traditional model of the development of loan business to adjust the credit structure. At the same time, interest rate marketization raises the interest rate risk, and tests the interest rate pricing management ability of commercial Banks. Western commercial Banks to adopt the method of the internal funds transfer pricing as the core method of the interest rate pricing management. In order to avoid interest rate fluctuations on the bank’s net interest income and net worth. Using perfecting internal funds transfer pricing method, can make the commercial Banks using the marketization of interest rate to adjust deposit and lending rates, avoid interest rate risk effectively.Marketization of interest rates for commercial banks is a double-edged sword, it will break the monopoly profits of financial institutions, reduce the deposit and lending spreads income, deposit and lending business competition in the market and in a short period for capital management ability is weak against large and small and medium-sized Banks. At the same time, the marketization of interest rates will also force the commercial Banks reform and perfecting funds management system, formulate rational pricing mechanism, improve the level of interest rate pricing, to raise their competitiveness. Among them, the internal funds transfer pricing and deposit and lending interest rate pricing ability is the key, this will determine the commercial bank development prospects after marketization of interest rates.Internal funds transfer pricing is an important tool for commercial bank interest rate risk management. Not only it provide the basis for bank deposit and lending pricing, but also changed the way of commercial bank interest rate risk management. After introduced the internal funds transfer pricing, it just like build a virtual capital market in bank. Due to internal transfer price can give consideration to term interest rate risk factors, therefore, it can separate the interest rate risk from the business department of internal transactions to assets and liabilities management department, realize the unified management by the assets and liabilities management department control interest rate risk, the deposit and lending services do not need to consider changes in the market interest rates and Banks’ assets and liabilities structure as a whole part.Chinese commercial bank loans due to the central bank interval control, independent pricing ability is weak, which determine the commercial Banks in China cannot copy the western mature method, should be based on China’s financial market development status and its pricing power design reasonable loan pricing methods and the loan pricing model. The four goals of Chinese commercial bank determines the bank must consider the cost of capital, risk control, customer maintenance, and its own assets and liabilities level four requirements on loan pricing, and with the core determine the loan pricing strategy.更多还原