Τιμολόγηση επιτοκίων τραπεζικών δανείων και κόστος κεφαλαίου τραπεζών με πρακτικές εφαρμογές
KeywordsΚόστος ιδίων κεφαλαίων ; Κεφαλαιακή επάρκεια τραπεζών ; Μέσο σταθμικό κόστος κεφαλαίου ; Ενδοεπιχειρησιακή τιμολόγηση κεφαλαίων ; Κόστος δανείων ; Κόστος καταθέσεων ; Επιτροπή Βασιλείας ; Κίνδυνος ρευστότητας ; Βελτιστοποίηση χαρτοφυλακίου ; Θεώρημα του διαχωρισμού ; Basel Committees ; Found transfer pricing ; Cost of equity ; Cost of loans ; Cost of deposits ; Liquidity risk ; Banking optimal capital structure ; Portfolio optimization ; Separation theory ; Weighted average cost of capital
In response to the economic crisis and the new tighter regulatory framework of Basel III, banks drastically readjust their policies in order to improve the management of their capital and liquidity. The new regulations set by Basel III at the level of micro-prudential and macro-prudential regulatory intervention, seem to put into question the theorem of Modigliani-Miller (1963), the neutral economic structure, and the "Separation Theorem or Neoclassical Model of the Banking Firm » of Klein and Monti (1972). The banks begin to incorporate the process of in-company invoicing (transfer pricing) to align themselves with the new conditions. Present essay lays special emphasis on the analysis of the factors/elements which should form the final price of the loan interest issued a bank. More specifically, within the framework of the research various theories which have been developed to obtain the billing costs that apply in practice as well as what should be the case for an 'excellent' loan pricing are examined. For this purpose the Basel regulations for the supervisory bank capital are taken into account and a combined analysis by finding the correlation coefficients between the different factors determining the cost of interest should be attempted, so as to take into account all bank risks for a given expected investors’ return and minimum covariance of returns. This process represents an attempt to extend somewhat the theory of efficient portfolios (efficent frontier portfolios) in banking products and may have important implications and applications in the theory and practice of pricing loan products.