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Author: 謝綢
Chou - Hsieh
Thesis Title: 銀行內部資金定價之個案研究
A Case Study of Bank Internal Funds Transfer Pricing
Advisor: 劉代洋
Day-Yang Liu
Committee: 陳俊男
Chun-Nan Chen
曾國安
Kuo-An Tseng
Degree: 碩士
Master
Department: 管理學院 - 財務金融研究所
Graduate Institute of Finance
Thesis Publication Year: 2016
Graduation Academic Year: 104
Language: 中文
Pages: 82
Keywords (in Chinese): 內部資金移轉定價制度資金移轉訂價
Keywords (in other languages): Funds Transfer Pricing, FTP, ALM, LCR
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本文的研究目的,係針對個案銀行之內部資金移轉定價(funds transfer pricing;簡稱FTP),利用其在2007年至2014年實施期間,以逐筆資金配對方式(matched-term funding)之FTP制度實施過程進行深入的研究,對於資金計價所包含之各項組成因素加以詳細探討。期望透過個案銀行的具體施行經驗,以了解銀行如何建立一個合時合宜的資金移轉計價制度,以便引導業務或產品單位之行為並達成銀行資產負債管理決策,追求全行最適資產負債配置及利潤最大化。
本研究的主要結論如下:
一、 個案銀行的FTP訂價方法如下:
(一) 小額存款FTP價格是以市場指標利率加減計價授權範圍及買賣價差授權範圍來做計價。
(二) 小額放款FTP價格是以市場指標利率除加減計價授權範圍及買賣價差授權範圍外,還需另外加計流動性貼水點數來做計價。
(三) 大額存款FTP價格是以小額存款FTP價格加減大額議價範圍來做計價。
(四) 大額放款FTP價格等於小額放款FTP價格加減大額議價範圍來做計價。
二、 銀行會依據資產負債策略及市場情勢調整FTP,利用市場力量來平衡產品分配和擬訂定價策略,達到銀行想要達成的管理策略目標。
三、 運用FTP引導產品定價可能遭受市場非理性競爭行為的衝擊,而且金融市場不健全將面臨缺乏市場利率指標所帶來的FTP訂價基準問題。


This case study describes how internal funds transfer pricing (FTP) was used by a bank to match loans or other assets with deposits of the same amount and maturity (matched term funding). The FTP implementation process was considered with reference to various factors during the period between 2007 and 2014.
It is expected that the specific experience contained in this case study will contribute to the knowledge base on how to build a timely and appropriate funds transfer pricing method. This in turn can guide the behavior of business or product owner and improve the bank's asset and liability management. Improved decision-making and the pursuit of an optimal bank asset/liability strategy has potential to maximize profits.
The main conclusions of this study are as follows:
1. The FTP model used in this case study contained the following elements:
(1) The fund transfer price of retail deposits was the market index rate plus or minus scope of price authorization and bid/offer spreads.
(2) The fund transfer price of retail loans was the market index rate plus or minus scope of price authorization and bid/offer spreads, and also including an additional liquidity premium.
(3) The fund transfer price of wholesale deposits was that of retail deposits plus or minus wholesale markup or discount.
(4) The fund transfer price of wholesale loans was that of retail loans plus or minus wholesale markup or discount.
2. FTP was adjusted based on the bank’s asset to liability strategy and the present market situation. Market price was used to balance the distribution of products and set pricing and management strategies so as to maximize bank goals.
3. Pricing products by FTP may suffer for irrational competitive behavior. And there is an additional problem in the lack of market indexing which makes the construction of a market base FTP yield curve problematic.

目 錄 中文摘要………………………………………………………………………………………………………………………I 英文摘要………………………………………………………………………………………………………………………Ⅱ 目錄………………………………………………………………………………………………………………………………IV 表目錄…………………………………………………………………………………………………………………………VI 圖目錄…………………………………………………………………………………………………………………………VⅢ 第壹章 緒論…………………………………………………………………………………………………………………1 第一節 研究背景與動機……………………………………………………………………………………………1 第二節 研究目的……………………………………………………………………………………………………………2 第三節 研究範圍與流程………………………………………………………………………………………………3 第四節 研究限制……………………………………………………………………………………………………………3 第貳章 文獻探討…………………………………………………………………………………………………………6 第一節 資金移轉定價之定義與功能……………………………………………………………………6 第二節 資金移轉定價之類型……………………………………………………………………………………7 第三節 資金移轉定價之方式…………………………………………………………………………………11 第參章 研究方法…………………………………………………………………………………………………………17 第一節 研究設計…………………………………………………………………………………………………………17 第二節 個案訪談…………………………………………………………………………………………………………18 第肆章 產業分析與個案公司介紹…………………………………………………………………………21 第一節 銀行業產業分析……………………………………………………………………………………………21 第二節 個案銀行介紹…………………………………………………………………………………………………31 第伍章 個案分析…………………………………………………………………………………………………………43 第一節 個案銀行資金移轉定價背景與決策………………………………………………………43 第二節 個案銀行資金移轉定價之具體作法………………………………………………………46 第三節 個案銀行資金移轉定價之實施效益分析……………………………………………59 第四節 個案銀行資金移轉定價之未來規劃………………………………………………………62 第陸章 結論與建議………………………………………………………………………………………………………65 第一節 研究結論…………………………………………………………………………………………………………65 第二節 研究建議…………………………………………………………………………………………………………67 參考文獻………………………………………………………………………………………………………………………………69 一、 中文部分………………………………………………………………………………………………………………69 二、 英文部分………………………………………………………………………………………………………………70 三、 網站部分………………………………………………………………………………………………………………71

一、 中文部分
1. 余陶然(2010),「市場利率波動下銀行資金移轉定價模式-以某商業銀行為例」,輔仁大學金融研究所碩士論文,台北。
2. 財團法人台灣金融研訓院(2004)編譯,原著Chris Matten:整合性資本管理─有效管理資本創造股東價值,財團法人台灣金融研訓院發行。
3. 郭崑謨、金成隆(1989),管理會計學,五南圖書出版公司,台北。
4. 郭照榮、李宜熹、陳勤明(2013): Basel III對金融穩定及貨幣政策之影響,中央銀行季刊。
5. 陳木在、陳錦村(2001):商業風險管理。台北新陸書局。
6. 陳家蓁(2014),「銀行內部資金移轉定價制度之探討」,國立政治大學經營管理所碩士論文,台北。
7. 陳錦村(2003):風險管理概要-個案與實務。台北新陸書局發行。
8. 陳鴻幕(2005):玉山銀行金融專論,資金移轉計價制度,第76期。
9. 張瑜真(1999) ,「利潤中心制度下內部移轉計價方法對效績衡量之影響」,台北大學企業管理學系碩士論文,台北。
10. 黃原桂(2006),「銀行業資金移轉訂價─模式與實例探討」,中興大學高階經理人碩士在職專班論文,台中。
11. 黃天浩(2007),「銀行內部資金轉撥計價對績效之影響」,國立政治大學經營管理所碩士論文,台北。
12. 劉威漢(2005):財務風險管理理論、應用與發展趨勢。台北智勝文化事業有限公司。
13. 薛繼祖(2010),「本國銀行資金運用之研究-以損益兩平觀點」,國立台北大學國際財務金融研究所碩士論文,台北。
14. 蘇源勝(2013),「銀行資金管理與經營績效關係之研究-以C銀行為例」,朝陽科技大學保險金融研究所碩士論文,台中。
二、 英文部分
1. Bank of England (2013), Asset and liability management: suggestions for greater effectiveness–Supervisory Statement LSS 1/13. Prudential Regulation Authority (PRA).
2. Bessis,Joel (2002),Risk Management in Banking. John Wiley & Sons, Inc. New York.
3. Dermine,Jean (2011), “Fund Transfer Pricing for Deposits and Loans, Foundation and Advanced,”Faculty & Research Working Paper, The Business School for the World.
4. Grant,Joel (2011), “Liquidity transfer pricing: a guide to better practice,”BIS Occasional Paper,No.10,Financial Stability Institute.
5. Jorgensen, Vivi Bagterp (2012), Funds Transfer Pricing under Basel III, New Requirements. New Implications. Master Thesis, Department of Economics and Business, Aarhus School of Business and Social Sciences, Asrhus University.
6. Kugiel, Lukasz and Morten Jakobsen (2009), Fund Transfer Pricing in a Commercial Bank. MSC in Finance and International Business, Aarhus School of Business and Social Sciences, Asrhus University.
7. Lindblom,Ted and Viktor Elliot (2014),Funds Transfer Pricing in Banks: Implication of Basel III. Goteborg.
8. Marrison, Chris (2002),The Fundamentals of Risk Measurement. The McGraw-Hill Companies,Inc. Publishing, New York.
9. Mastrangelo, Luigi (2014), Funds Transfer Pricing, A survey to access the state of European banks’practises. FSI Consulting, Deloitte Touche Tohmatsu Limited.
10. Randall T. Kawano, Randall (2005), “Funds Transfer Pricing,” The Journal of Bank Cost & Management Accounting,2005,Special 25th Anniversary Issue, 35~43.
11. W Randall, Payant (2000), “Funds Transfer Pricing and A/L Modeling, ” The Journal of Bank Cost & Management Accounting.
12. W.Sapp, Richard and David M. Crawford, Steven A. Rebischke (2005), “Activity-based Information for Financial Institutions,” Journal of Performance Management.
13. Webste, William (2012). Funds Transfer Pricing. Barbican Consulting.

三、 網站部分
1. 中央銀行「金融統計月報」,http://www.cbc.gov.tw
2. 中央銀行「金融健全指標」,http://www.cbc.gov.tw
3. 公開資訊觀測站,http://www.mops.twse.com.tw
4. 行政院主計總處,http://www.dgbas.gov.tw
5. 金融監督管理委員會,http://www.banking.gov.tw
6. International Banker, http:// www.internationalbanker.com

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