基于削峰填谷方法的银行内部资金拆借模型

Bank Internal Fund Lending Model Based on Peak Filling Valley Method

在采取内部资金转移定价(FTP)的银行系统中,分支机构可通过最小化日终账户余额、延长拆借期限提高上拆资金收益。本文通过理论分析研究上拆资金的最优策略,即削峰填谷方法,基于该策略搭建了静态拆借模型与动态测试模型,对模型的有效性和可靠性进行验证,并就拆解账户余额对利润的影响进行量化分析,最后讨论了进一步提高拆借收益和模型可靠性的途径。研究结果表明,本文提出的削峰填谷方法和数值模型对于提高分支机构的拆借收益具有显著的现实指导意义。

In bank adopting internal fund transfer pricing system,branch can increase its fund lending profits by minimizing end of the day account balance and by extending the lending period.Through theoretical analysis,this paper provided an optimal internal fund lending strategy,the peak filling valley method.Based on this strategy,a static lending model and a dynamic testing model were established,their effectiveness and reliability were verified,and a quantitative analysis was made to find out the impact of account balance on profits.Finally,several methods which can further improve the fund lending profits and the model reliability were discussed.The results show that the peak filling valley method and the numeric model proposed in this paper can help branch increase its fund lending profits.