Repricing Gap Copyright 2003 Oracle All rights reserved

重定价缺口报告示例 – Repricing Gap Copyright © 2003, Oracle. All rights reserved.

流动性缺口报告示例 – Liquidity Gap Copyright © 2003, Oracle. All rights reserved.

简单的ALM案例研究 – NII净利息收入报告 Copyright © 2003, Oracle. All rights reserved.

简单的ALM案例研究 – MV市值/Duration持续期 预计的现金流 100 1 资产 As of date 当前日期 1 3 个月 1 1 6 个月 9 个月 12 个月 100 1 负债 As of date 当前日期 3 个月 MV Duration 资产 10. 87 0. 25 负债 10. 87 0. 25 资本值 0 0 科目 Copyright © 2003, Oracle. All rights reserved. 时段

MV市值/Duration持续期报告示例 Copyright © 2003, Oracle. All rights reserved.

MV市值敏感性报告示例 Copyright © 2003, Oracle. All rights reserved.

ALM 处理示例 – 定义利率曲线 Copyright © 2003, Oracle. All rights reserved.

ALM 处理示例 – 设置环境变量 Copyright © 2003, Oracle. All rights reserved.

ALM 处理示例 – 定义利率变化场景和预测条件 Copyright © 2003, Oracle. All rights reserved.

ALM 处理示例 – 基于自定义场景模拟的处理（目标选择） Copyright © 2003, Oracle. All rights reserved.

ALM 处理示例 – 基于自定义场景模拟的处理（参数配置） Copyright © 2003, Oracle. All rights reserved.

ALM 处理示例 – 基于自定义场景模拟的处理（计算模式） Copyright © 2003, Oracle. All rights reserved.

ALM 处理示例 – 基于自定义场景模拟的处理（结果审计） Copyright © 2003, Oracle. All rights reserved.

ALM 处理示例 – 基于随机场景模拟的处理（MV/Va. R/Ea. R） Copyright © 2003, Oracle. All rights reserved.

TP的结果－按产品汇总的转移价格和利息差额报告 Copyright © 2003, Oracle. All rights reserved.

TP的结果－按产品展开的转移价格和利息差额报告 Copyright © 2003, Oracle. All rights reserved.

TP的结果－展开的帐户层转移价格和利息差额报告 Copyright © 2003, Oracle. All rights reserved.

Oracle FTP提供的内部资金转移计价方法 Non-cash flow methods Cash flow methods现金流法 非现金流法 直接期限匹配 Straight term Pool methods资金池法 利率代�差� Spread from IRC 票面利率差额 Spread from note rate 移动平均 Moving average 偿还曲线 Redemption curve 持续期 Duration 现金流加权平均 Cash flow weighted term 零折扣因子 Zero discount factor 在直接期限匹配和现金流法中，可以选择基于标准期限或剩余期限计算 Copyright © 2003, Oracle. All rights reserved.

现金流持续期法－ Duration 持续期转移价格 Duration = {CFn tn / (1+ r)m} / {CFn / (1+ r)m} 利率 YC(D*) 收益曲线 (IRC) 在起息日 CF 1 Copyright © 2003, Oracle. All rights reserved. CF 2 * D CF 3 CF 4 时间, 期限

现金流加权平均法－ Weighted average cash flow 加权平均转移价格 = Y = {Yn CFn tn / (1+ r)m} / {CFn tn / (1+ r)m} 利率 YC(t 3) YC(t 4) YC(t 2) 在起息日 YC(t 1) 起息日 CF 1 Copyright © 2003, Oracle. All rights reserved. CF 2 收益曲线 (IRC) CF 3 CF 4 时间, 期限

票面利率差额法－ Spread from note rate 银行按客户利率的固定差额计算转移价格 TR = CUR_NET_RATE (客户净利率) + SP (差额) Copyright © 2003, Oracle. All rights reserved.

TP处理－设置环境变量 Copyright © 2003, Oracle. All rights reserved.

TP处理－对应不同产品的计价方法选择（参数化配置） Copyright © 2003, Oracle. All rights reserved.

Oracle解决方案对应管理信息系统的需求实现 Oracle OFSA BSC & PA Oracle OFSA RM & TPOL Oracle OFSA OFDM & Discoverer Oracle OFSA TP & PA & BP & ABM Oracle OFSA OFDM Oracle ERP Financial & HR Copyright © 2003, Oracle. All rights reserved.