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Yield curve construction method for bank internal capital transferring pricing

A construction method and yield technology, applied in the field of yield curve construction in banks' internal fund transfer pricing, can solve problems such as wrong business orientation, lagging yield curve, and long adjustment cycle of benchmark interest rates, so as to avoid disconnection and reduce adjustment. Effect

Inactive Publication Date: 2015-06-17
BEIJING VANTAGE POINT SCI & TECH
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  • Summary
  • Abstract
  • Description
  • Claims
  • Application Information

AI Technical Summary

Problems solved by technology

The existing method of cutting the benchmark interest rate to construct the yield curve has exposed many problems in its application: 1. Objectivity has been questioned; 2. The benchmark interest rate adjustment cycle is long, and the yield curve lags behind the market, which will lead to wrong business orientation; 3 .The yield curve is artificially adjusted according to management needs and business orientation

Method used

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  • Yield curve construction method for bank internal capital transferring pricing
  • Yield curve construction method for bank internal capital transferring pricing
  • Yield curve construction method for bank internal capital transferring pricing

Examples

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Embodiment 1

[0019] Example 1: Taking an AA-bank as an example, based on the RMB market-oriented business, construct a capital market curve.

[0020] figure 1 Shown is the method flow for constructing the yield curve of the capital market. The basic methods of construction mainly include: 1. Use the method of mixing market points, use SHIBOR data for points within one year, and use inter-bank fixed-rate treasury bond data for more than one year Generate yield curve generatrix. On this basis, our bank's credit risk premium is added to form the yield curve of our bank's RMB market-oriented business. 2. The credit risk premium is calculated and adjusted every year based on our bank's rating, depth and breadth of market participation, and market conditions. 3. The yield curve is updated daily. SHIBOR data with a maturity of one year and interbank fixed-rate treasury bonds with a maturity of one year or more are constructed by linear interpolation. The credit premium is calculated on the ba...

Embodiment 2

[0032] Embodiment 2: Taking an AA-bank as an example, based on the RMB deposit and loan business, construct a deposit and loan curve.

[0033] figure 2 Shown is the method flow for constructing deposit and loan yield curves. The basic methods of construction mainly include: 1. The curve construction rules are the same as the market-oriented curve; 2. It is recommended to update regularly (monthly or quarterly). Promote the gradual shortening of the adjustment cycle. When major changes occur in the market or bank operations, adjustments need to be made in a timely manner; 3. Stabilization mechanism. In order to avoid the impact of accidental events on the yield curve, it is recommended to adopt a period of moving average. It should be noted that the stabilization mechanism also causes a certain time lag and deviation from the market in the yield curve. The time span of the moving average needs to be balanced between stability and timeliness. SHIBOR data with a maturity point ...

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Abstract

The invention relates to the bank profit managing field, and particularly discloses a yield curve construction method for bank internal capital transferring pricing. The banking operational RMB business comprises the marketizing business and the non-marketizing business. A yield curve in the bank internal capital transferring pricing is established. As for the marketizing business, the method comprises the following steps: a market basis yield curve is established, and a credit risk premium point-difference is established. As for the non-marketizing business, based on the above curve, the steps that a stabilizing mechanism is established and an adjusting mechanism is established are added. Based on the market yield rate, the yield curve is established, the FTP business guiding is guaranteed to be in accordance with the market, and the condition that the yield curve is detached from the market, as a result the wrong business guiding is generated is avoided; the adjustment on the yield curve by man-made subjective judgment is lowered.

Description

technical field [0001] The invention relates to the field of bank profit management, in particular to a yield curve construction method in bank internal fund transfer pricing. Background technique [0002] In the current bank profit management, fund transfer pricing has become the basic and core tool, and constructing a reasonable yield curve is the most important thing in fund transfer pricing. There is a dual market structure in our country, where regulated interest rate businesses such as deposits and loans coexist with market-oriented financial market businesses, and the foreign currency market is separated from the international market. When constructing the yield curve, the status quo of the dual market must be considered. In the "Twelfth Five-Year Plan for Financial Industry Development and Reform" led by the People's Bank of China and jointly formulated by the China Banking Regulatory Commission, the China Securities Regulatory Commission and the China Insurance Regu...

Claims

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Application Information

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IPC IPC(8): G06Q40/02
Inventor 钟臣柯汉松
Owner BEIJING VANTAGE POINT SCI & TECH