{0》Fiscal Cliff Shocks《}0{》财政悬崖冲击《0}.docVIP

{0Fiscal Cliff Shocks}0{财政悬崖冲击0} {0November 2012}0{2012 年 11 月0} {0Executive Summary}0{执行摘要0} {0Investors need to have soundly-based estimates of potential shocks to markets in the event of certain economic and political scenarios which are being widely discussed, such as the “Fiscal Cliff”scenario for the USA.}0{对于最近广为谈论的一些经济和政治事件可能对市场产生的冲击，如美国的“财政悬崖”，投资者需要有充分的估计。0} {0Scenario Analysis within SunGard APT provides for a description of shock scenarios which can be applied to any portfolio and benchmark within the system.}0{SunGard APT 情景分析中提供的冲击情景说明可用于该系统内所有投资组合及基准。0} {0Scenarios are described by a set of shocks to both level (1st moment) and volatility (2nd moment) of any set of macro variables (explanatory factors) which can be represented within the factor model.}0{通过描述对宏观变量因子（可解释因子）级别（第一时间）和波动性（第二时间）的一系列冲击来定义情景，这些宏观变量因子可在因子模型中找到。0} {0When multiple shocks are applied the modelled co-movement of explanatory factors is always taken into account based on APT’s model for factor attribution of portfolio risk (essentially a multivariate regression approach for time-series factors).}0{如果冲击来源有多种，则通常根据 APT 投资组合风险归因模型（实际是多变量时间序列因子的回归分析法），将模型解释因子的协同效应考虑在内。0} {0Historical scenarios can be combined in various ways in order to generate “forward-looking” scenarios based on expectations of shocks provided by any authority.}0{根据官方提供的冲击预期，可以多种方式结合历史情景以便使新产生的场景具有“前瞻性”。0} {0The APT document “Lessons from History” sets out several ways in which plausible forward-looking scenarios can be generated.}0{APT 文档“Lessons from History(历史的经验)”中罗列了多种方法来创建较为可信的前瞻性场景。0} {0In this exercise we have considered several reports and papers published by institutions with recognised authority in US fiscal economics along with market strategists, and attempted to combine some of their views to generate a series of scenarios which can be used within APT for any multi-asset class portfolio via the appropriate APT risk model such as “World Bonds Local”.}0{在本次练习中，我们参考了多份由美国财政经济学权威机构发表的报告和论文，以及一些市场策略，我们还尝试