风险管理基础的题

问题如下：

An analyst is estimating the sensitivity of the return of stock A to different macroeconomic factors. The following estimates for the factor betas are prepared:

β_Industrial production = 1.30

β_interest rate = -0.75

Under baseline expectations, with industrial production growth of 3.0% and an interest rate of 1.5%, the expected return for Stock A is estimated to be 5.0%. The economic research department is forecasting an acceleration of economic activity for the following year, with industrial production forecast to grow 4.2%and interest rates increasing 25 bps to 1.75%. According to this forecast, what return of Stock A can beexpected for next year?

选项：

A.

4.8%

B.

6.4%

C.

6.8%

D.

7.8%

解释：

中文解析：

B是正确的。股票A的预期回报等于该股票在基准情景下的预期收益率，加上“冲击”的影响，或超额回报。由于基准情景包括3%的行业增长率和1.5%的利率，行业因子和利率因子的“冲击”分别为1.2%和0.25%。

因此，新情景的预期收益率=β_Industrial production * 行业冲击+ β_interest_rate * 利率冲击。

5% +（1.3 * 1.2%）+（-0.75 * 0.25%）= 6.37%。

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B is correct. The expected return for Stock A equals the expected return for the stock under the baseline scenario, plus the impact of “shocks,” or excess returns of, both factors. Since the baseline scenario incorporates 3% industrial production growth and a 1.5% interest rate, the “shocks” are 1.2% for the industrial production factor and 0.25% for the interest rate factor.

Therefore, the expected return for the new scenario =

β_Industrial production * Industrial production shock + β_interest rate * Interest rate shock or 5% + (1.3 * 1.2%) + (-0.75 * 0.25%) = 6.37%.