The main role of banks is reflected in activities of receiving deposits and placements of loans - strategies which carry out liquidity risk. Since deposits are usually taken on short term periods, and loans on long term, leading to a mismatch, each bank should understand and be able to measure their own profitability by identifying specific components. Global financial crisis has forced banks to change their thoughts about their financing. Before the crisis financing was virtually unlimited, and success was measured in volume terms, the planning was facing growth and liquidity is commonly considered guaranteed. Thus the system of transfer prices became one of the most important tools for measuring profitability and hedging certain types of risks through calculation of net interest margin, and the ratio between the realized interest rate and transfer pricing products. Spread allocation on different organization units is defined by funds transfer pricing system. Large number of great banks use the funds transfer pricing system in internal resource movement between certain organization units or profit centers. A well established system of transfer pricing can help banks to identify and determine the height of the price of each product on the market, to cope with interest rate and liquidity risk and to create specific action guidelines specified for organizational units. This paper is proving the importance, role and impact of transfer prices in banks and bank products profitability, and therefore explaining the risk measurement approach in interest rate and liquidity risk volatility, calculating different types of risks into the transfer price of each product.