参考收益率拟合技术在基金转移定价机制中的作用

Contemporary Trends and Challenges in Finance Pub Date : 1900-01-01 DOI:10.15611/PN.2019.2.02

Ewa Dziwok

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引用次数: 0

摘要

资金转移定价(FTP)结构已成为现代银行资产负债管理(ALM)过程的基础。根据监管文件，FTP因此是一种监管约束，也是ALM过程中的重要工具。更重要的是，金融机构应该有一个充分的内部转移定价机制，该机制以收益率曲线形式从市场传递的参考利率为基础。参考收益率在时间上的脆弱性和敏感性可能对流动性风险管理过程产生巨大影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The Role of a Reference Yield Fitting Technique in the Fund Transfer Pricing Mechanism

The funds transfer pricing (FTP) structure has become a base for the process of asset and liability management (ALM) in a modern bank. According to the supervisory documents, FTP is thus a regulatory constraint and an important tool in the ALM process. What is more institutions should have an adequate internal transfer pricing mechanism based on reference rate delivered from the market in a form of the yield curve. The fragility and sensitivity of the reference yield in time could have huge consequences for the liquidity risk management process.

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Contemporary Trends and Challenges in Finance

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