Study On Commercial Banks’ Funds Transfer Pricing Based On NetLogo

With the development of interest rate marketization in China’s finanical market,there are high management requirements for commercial banks in China. Commercialbanks should unify liquidity, security and profitability as a goal, to managementsynthetically, dynamically and preventively, in order to achieve its internal optimalallocation of resources. In a large commercial bank’s management business, the levelof Asset/Liability management has played a vital role, and Asset/Liabilitymanagement is the mainstream risk management model in Western commercial banks.Funds Transfer pricing is important in Asset/Liability management. Application ofadvanced asset/liability management model, China’s commercial banks must considerthe outside financial market environment. The funds management center withincommercial bank assess the systemic risk. How the formation of interest rates is oneof its most important issues of concern. The basic steps of applying asset/liabilitymanagement model is grasping the interest rate formation mechanism, and dependingon its actual financial situation and business costs to determine FTP. How todetermine the interest rate risk and how to confirm funds transfer price is difficult tosolve, which is the signification meaning of this paper.In this paper, computational experiment is adopted. The market interest rate issimulate through the NetLogo simulation platform, and the systemic risk isdetermined. Funds management center accordingly determine the middle position ofthe Cost of Funds(COF) and Value of Funds(VOF), and determine the COF and VOFaccording to the actual operational status of individual commercial banks. The modelsignificantly increase the complexity and the authenticity level.