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对于最优降息策略理论的检验，三个概念的影响都是重要的（久期单位为月，降息幅度单位为bps）

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对于最优降息策略理论的检验，三个概念的影响都是重要的（久期单位为月，降息幅度单位为bps）_第1页

### 不同情景设定下的参数比较（基于最优降息策略理论检验）

#### 情景A  
| 银行   | D    | L    | L-D  | M*D  | M_D  | M_L  | 存款降息(bps) | 贷款降息(bps) | 对冲比例影响 | 久期错配影响 | 相机决策影响 | 合计影响 | 对冲比例占比 | 久期错配占比 | 相机决策占比 | 对冲比例系数 | 久期错配系数 | 相机决策系数 |
|--------|------|------|------|------|------|------|----------------|----------------|--------------|--------------|--------------|----------|--------------|--------------|--------------|--------------|--------------|--------------|
| 国有行 | 10.3 | 6.7  | (3.6)| 17.0 | 6.0  | 3.0  | 15.0           | 10.0           | 2.3          | (2.4)        | 4.4          | 4.2      | 53.2%        | -56.4%       | 103.2%       | 0.5          | 0.7          | 1.5          |
| 股份行 | 8.5  | 7.5  | (1.0)| 16.0 | 6.0  | 3.0  | 15.0           | 10.0           | 2.0          | (0.7)        | 5.3          | 6.6      | 30.2%        | -10.5%       | 80.2%        | 0.4          | 0.7          | 1.8          |
| 城商行 | 11.9 | 14.0 | 2.2  | 25.9 | 6.0  | 3.0  | 15.0           | 10.0           | 1.1          | 0.6          | 3.8          | 5.4      | 19.7%        | 10.7%        | 69.7%        | 0.2          | 0.3          | 1.3          |
| 农商行 | 11.8 | 12.1 | 0.3  | 24.0 | 6.0  | 3.0  | 15.0           | 10.0           | 1.2          | 0.1          | 3.8          | 5.1      | 24.1%        | 1.8%         | 74.1%        | 0.2          | 0.3          | 1.3          |


#### 情景B  
| 银行   | D    | L    | L-D  | M*D  | M_D  | M_L  | 存款降息(bps) | 贷款降息(bps) | 对冲比例影响 | 久期错配影响 | 相机决策影响 | 合计影响 | 对冲比例占比 | 久期错配占比 | 相机决策占比 | 对冲比例系数 | 久期错配系数 | 相机决策系数 |
|--------|------|------|------|------|------|------|----------------|----------------|--------------|--------------|--------------|----------|--------------|--------------|--------------|--------------|--------------|--------------|
| 国有行 | 10.3 | 6.7  | (3.6)| 17.0 | 3.0  | 6.0  | 15.0           | 10.0           | 4.5          | (4.8)        | (4.4)        | (4.6)    | -97.1%       | 102.9%       | 94.2%        | 0.9          | 1.3          | 1.5          |
| 股份行 | 8.5  | 7.5  | (1.0)| 16.0 | 3.0  | 6.0  | 15.0           | 10.0           | 4.0          | (1.4)        | (5.3)        | (2.7)    | -148.6%      | 51.4%        | 197.2%       | 0.8          | 1.4          | 1.8          |
| 城商行 | 11.9 | 14.0 | 2.2  | 25.9 | 3.0  | 6.0  | 15.0           | 10.0           | 2.1          | 1.2          | (3.8)        | (0.5)    | -438.0%      | -238.0%      | 776.0%       | 0.4          | 0.5          | 1.3          |
| 农商行 | 11.8 | 12.1 | 0.3  | 24.0 | 3.0  | 6.0  | 15.0           | 10.0           | 2.5          | 0.2          | (3.8)        | (1.1)    | -216.5%      | -16.5%       | 332.9%       | 0.5          | 0.6          | 1.3          |


#### 情景C  
| 银行   | D    | L    | L-D  | M*D  | M_D  | M_L  | 存款降息(bps) | 贷款降息(bps) | 对冲比例影响 | 久期错配影响 | 相机决策影响 | 合计影响 | 对冲比例占比 | 久期错配占比 | 相机决策占比 | 对冲比例系数 | 久期错配系数 | 相机决策系数 |
|--------|------|------|------|------|------|------|----------------|----------------|--------------|--------------|--------------|----------|--------------|--------------|--------------|--------------|--------------|--------------|
| 国有行 | 10.3 | 6.7  | (3.6)| 17.0 | 3.0  | 6.0  | 10.0           | 15.0           | (4.5)        | (3.2)        | (2.9)        | (10.6)   | 42.5%        | 30.0%        | 27.5%        | 0.9          | 0.9          | 1.0          |
| 股份行 | 8.5  | 7.5  | (1.0)| 16.0 | 3.0  | 6.0  | 10.0           | 15.0           | (4.0)        | (0.9)        | (3.5)        | (8.4)    | 47.3%        | 10.9%        | 41.8%        | 0.8          | 0.9          | 1.2          |
| 城商行 | 11.9 | 14.0 | 2.2  | 25.9 | 3.0  | 6.0  | 10.0           | 15.0           | (2.1)        | 0.8          | (2.5)        | (3.9)    | 55.0%        | -19.9%       | 64.9%        | 0.4          | 0.4          | 0.8          |
| 农商行 | 11.8 | 12.1 | 0.3  | 24.0 | 3.0  | 6.0  | 10.0           | 15.0           | (2.5)        | 0.1          | (2.5)        | (4.9)    | 50.6%        | -2.6%        | 51.9%        | 0.5          | 0.4          | 0.8          |


#### 情景D  
| 银行   | D    | L    | L-D  | M*D  | M_D  | M_L  | 存款降息(bps) | 贷款降息(bps) | 对冲比例影响 | 久期错配影响 | 相机决策影响 | 合计影响 | 对冲比例占比 | 久期错配占比 | 相机决策占比 | 对冲比例系数 | 久期错配系数 | 相机决策系数 |
|--------|------|------|------|------|------|------|----------------|----------------|--------------|--------------|--------------|----------|--------------|--------------|--------------|--------------|--------------|--------------|
| 国有行 | 8.8  | 6.7  | (2.0)| 15.5 | 6.0  | 3.0  | 15.0           | 10.0           | 2.2          | (1.6)        | 5.1          | 5.8      | 38.4%        | -26.8%       | 88.4%        | 0.4          | 0.8          | 1.7          |
| 股份行 | 8.8  | 10.1 | 1.3  | 18.9 | 6.0  | 3.0  | 15.0           | 10.0           | 1.5          | 0.7          | 5.1          | 7.3      | 20.4%        | 9.2%         | 70.4%        | 0.3          | 0.5          | 1.7          |
| 城商行 | 12.1 | 14.0 | 1.9  | 26.1 | 6.0  | 3.0  | 15.0           | 10.0           | 1.1          | 0.5          | 3.7          | 5.3      | 20.2%        | 9.6%         | 70.2%        | 0.2          | 0.3          | 1.2          |
| 农商行 | 12.0 | 18.7 | 6.7  | 30.7 | 6.0  | 3.0  | 15.0           | 10.0           | 0.8          | 1.3          | 3.7          | 5.9      | 13.6%        | 22.8%        | 63.6%        | 0.2          | 0.2          | 1.2          |


#### 情景E  
| 银行   | D    | L    | L-D  | M*D  | M_D  | M_L  | 存款降息(bps) | 贷款降息(bps) | 对冲比例影响 | 久期错配影响 | 相机决策影响 | 合计影响 | 对冲比例占比 | 久期错配占比 | 相机决策占比 | 对冲比例系数 | 久期错配系数 | 相机决策系数 |
|--------|------|------|------|------|------|------|----------------|----------------|--------------|--------------|--------------|----------|--------------|--------------|--------------|--------------|--------------|--------------|
| 国有行 | 10.3 | 6.7  | (3.6)| 17.0 | 6.0  | 3.0  | 10.0           | 20.0           | (4.5)        | (1.6)        | 2.9          | (3.2)    | 141.5%       | 50.0%        | -91.5%       | 0.5          | 0.4          | 1.0          |
| 股份行 | 8.5  | 7.5  | (1.0)| 16.0 | 6.0  | 3.0  | 10.0           | 20.0           | (4.0)        | (0.5)        | 3.5          | (0.9)    | 433.7%       | 50.0%        | -383.7%     | 0.4          | 0.5          | 1.2          |
| 城商行 | 11.9 | 14.0 | 2.2  | 25.9 | 6.0  | 3.0  | 10.0           | 20.0           | (2.1)        | 0.4          | 2.5          | 0.8      | -276.0%      | 50.0%        | 326.0%       | 0.2          | 0.2          | 0.8          |
| 农商行 | 11.8 | 12.1 | 0.3  | 24.0 | 6.0  | 3.0  | 10.0           | 20.0           | (2.5)        | 0.1          | 2.5          | 0.1      | -1973.3%     | 50.0%        | 2023.3%      | 0.2          | 0.2          | 0.8          |


**资料来源：wind，东北证券**

对于最优降息策略理论的检验，三个概念的影响都是重要的（久期单位为月，降息幅度单位为bps）_第2页

对于最优降息策略理论的检验，三个概念的影响都是重要的（久期单位为月，降息幅度单位为bps）_第3页

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对于最优降息策略理论的检验，三个概念的影响都是重要的（久期单位为月，降息幅度单位为bps）_第4页

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