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Based on commercial banks' internal funds transfer pricing interest rate term structure

Author: ZhangNing
Tutor: ChenZengJing
School: Shandong University
Course: Probability Theory and Mathematical Statistics
Keywords: Internal funds transfer pricing Yield Curve Interest rate risk Term Structure
CLC: F832.2
Type: Master's thesis
Year: 2010
Downloads: 291
Quote: 1
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Abstract


Since 2007, the full liberalization of the financial markets , China's commercial banks face increasing competition , not only to compete with the domestic industry , they are confronted with the challenges of advanced foreign banks . And as China's interest rate liberalization process forward , China's commercial banks, the original policy advantage will cease to exist , interest rate market risk has become increasingly prominent . In order to respond to the market 's severe test , China's commercial banks should strive to enhance their management capacity and market competitiveness. Internal funds transfer pricing (FTP system ) as a modern commercial bank's internal capital management model has been developed for foreign commercial banks generally accepted and used, the model has the ability to improve interest rate risk management , improve product pricing power , optimize resource allocation and achieve a fair performance appraisal role, and these effects have been confirmed in interest rate market environment is effective. Therefore , in our interest rate market as soon as possible to establish the context of its own characteristics FTP system to cope with an increasingly tough market interest rate risk of commercial banks in natural selection . FTP core of the system is constructed to build an exact market risk-free yield curve , the curve is generally used instead of the Treasury yield curve , through the bond market fitting the term structure of interest rates . In the process of fitting a different selection method will directly affect the accuracy of the yield curve , thus affecting the implementation of the System FTP . This article describes several major static fitting term structure model to analyze the characteristics of each model , and then select the NS model empirical analysis . FTP system 's main role is to improve commercial banks' interest rate risk management capabilities, the price of the system through internal funds interest rate risk from the business sector will be separated from the Head Office central unified management of funds , so the fund 's interest rate risk management center will ultimately decide the FTP system effects . In order to avoid risks or risk compensation in exchange for holding risk , capital center response rates have in-depth understanding of the dynamics of change . This article describes several major active interest rate term structure model , and highlights HJM model .

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Banking system and business
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