剑桥-美元贬值的金融灾难压力测试（英）-2023_市场营销策划_重点报告202301202_doc.docx

DOLLARDEPOSEDSTRESSTESTSCENARIOCambridgeCentreforRiskStudiesCambridgeRiskFrameworkDe-AmericanizationoftheGlobalFinancialSystemCentreforRiskStudisUniversityofCAMBRIDGEJudgeBusinessSchlCambridgeCentreforRiskStudiesUniversityofCambridgeJudgeBusinessSchoolTrumpingtonStreetCambridge,CB21AGUnitedKingdomenquiries.risk(>jbs.cam.ac.ukDecember2015TheCambridgeCentreforRiskStudiesacknowledgesthegeneroussupportprovidedforthisresearchbythefollowingorganisations:TheviewscontainedinthisreportareentirelythoseoftheresearchteamoftheCambridgeCentreforRiskStudies,anddonotimplyanyendorsementoftheseviewsbytheorganisationssupportingtheresearch.Thisreportdescribesahypotheticalscenariodevelopedasastresstestforriskmanagementpurposes.Itdoesnotconstituteaprediction.TheCambridgeCentreforRiskStudiesdevelopshypotheticalscenariosforuseinimprovingbusinessresiliencetoshocks.Thesearecontingencyscenariosusedfor,what-ifstudiesanddonotconstituteforecastsofwhatislikelytohappen.De-AmericanizationoftheFinancialSystemStressTestScenarioDollarDeposedContents1 ExecutiveSummary42 FinancialCatastropheStressTestScenarios83 De-AmericanizationoftheGlobalFinancialSystemasaFinancialCatastrophe124 DefiningtheScenario145 TheScenario166 MacroeconomicAnalysis177 ImpactonInvestmentPortfolio238 MitigationandConclusions309 Bibliography31De-AmericanizationoftheFinancialSystemStressTestScenarioDollarDeposed1ExecutiveSummaryTheriseandfallofdominantcurrencies,associatedwithtradeandlinkedtofinancialandpoliticalsystems,isarecurrentthemeinfinancialhistory.Wedescribeade-AmericanizationoftheglobalfinancialsystemasoneourfourFinancialCatastrophescenarios.Scenarioscangenerallybeusedtocoverthespectrumofextremeshocks,suchasthoseproposedintheCambridgeTaxonomyofThreats,whichencompassesfiveclassesofbusinessrisk.Asuiteofscenariosisabasisforaglobalenterprisetoself-stresstestandimproveitsresilience.De-AmericanizationasaFinancialCrisisTheriseandreignoftheUSdollar,signpostedbytheendoftheSecondWorldWar,isthemostrecentandmostcompleteexampleofhowmonetaryhegemonyfunctionsasastabilisingforceintheglobaleconomy. D. Calleo (ed.), Money and the Coming World Order, Lehrman Institute, New York UniVerSity Press, 1976From“greenback”to“redback”ThisscenarioimaginesaglobalfinancialshiftfromtheUSdollartotheChineserenminbiresultingfromcontinued,rapidandmassivedevelopmentofChinaonatracktowardsbecomingtheworld,slargestdomesticeconomy. KPMG, uChina,s 12th Five-Year Plan: Ovendewn, 2011Theoverallimpactofthechangeoverinmonetaryhegemonydoesnotleadtoaworldwiderecessioninanyofthescenariovariants.TheUS,however,suffersayearlongrecessioninthefirstyearoftheshock,andanultimatelossof5.2%,7.3%and8.4%ofdomesticGDPacrossallvariants.IntheSiandS2scenarios,theoverallloss,expressedaslostglobalGrossDomesticProductduringthescenariocomparedWiththeprojectedrateofgrowth("GDPRiSk")，isbetween$1.9and$1.6trillion,respectively.Intheextremevariant,Xi,however,theglobalGDPmakesareturnof$1.6trillionabovetheprojectednon-crisisgrowth.Whatisthelifeexpectancyofaglobalcurrency?Scenarioselection“Global”currencieshaveexistedaslongastherehasbeencross-culturaltrade,exemplifiedbythecommercialempiresofhistoricalRome,Byzantium,Italy,theNetherlands,andSpain.Hegemonystabilitytheorypostulatesthatadominantreservecurrencywithaweakeningeconomicbaseissuggestiveofatradecurrencyorreservecurrencyshift. A. Walter, World Power and World Money, Prentice-Hall, 2003TheDollarDeposedScenarioisanalogoustothepost-WorldWarIIreplacementoftheBritishPoundSterlingbytheUSdollarasdominantcurrencyinthatitisunderpinnedbyeconomicweakness,largedebtandsignificantgeopoliticalshiftsthatareexternaltothereservecurrencynation.VariantsofthescenarioInourtstandard,scenario,identifiedasSi,thesizeoftheshockisgaugedbythedepreciationoftheUSdollarby10%againsttheChineseRMB,whichsupplantsitasthenewreservecurrency.ScenariovariantS2increasestheshocktoa25%depreciationofthedollarwhilethemostseverevariant,Xi,considers50%depreciation.ThescaleoflossinflictedbytheDollarDeposedScenariohasbeencalibratedtocorrespondtoaneventthathappensaboutonceacenturyonaverage,a1-in-100yearevent.Twoindicatorsthatmaygiveasenseofthelikelihoodofacatastrophescenariooccurringareitsimpactonequityreturnsandgrowthrates,whichareexpectedtobenegativeinthethroesofacatastrophe.US(UK)equitiesoverthelasttwohundredyearshaveexperiencedreturnratesbelow-24%(-13%)aboutonceintwentyyears,withreturnratesbelow-36%(-20%)signifying1-in-100events.Inourscenariovariants,thosereturnratesaresimilarregardingtheUS,withreturnratesof-30%forSiand-44%forS2,(andlessdramaticfortheUKwherethescenarioreturnratesare-9%forSiand-13%forS2).Thatis,thesesuggestthatanimpactatthescaleoftheDollarDeposedScenarioisroughlycomparablewith-in-ooyearevent.NearzeroeconomicgrowthratesarefoundinourscenarioswhichdifferfromthehistoricalrecordofUS(UK)growthratesbelow-7%(-3%),whichare1-in-20yearevents,orratesbelow-13%(-5%)whichhappenseverycentury.Thisisastresstest,notapredictionThisreportisoneofaseriesofstresstestscenarios,producedbytheCentreforRiskStudies,toexploremanagementprocessesfordealingWithanextremeshock.Itdoesnotpredictacatastrophe.TheunfurlingscenarioDragonrisingChinacontinuestoinvestheavilyinexpandingitsindustrialbase.Forthefirsttime,thereismassivegrowthininfrastructurenorthandwestoftraditionaleconomiczonesexemplifiedbythecoastalPearlRiverDeltaandcentralChongchingprovince.ThisisacceleratedbygrowingChina,sdomesticbondmarketsaswellasdevelopingregulationandfinancialmarketinfrastructurewithinChinaandinthepursuitofinternationalmarkets.ThedragonmakesrainAsChina,sinternaleconomylurchesforward,resourceandsocialstressorsrisetothefore.TheChinesegovernmentrespondsWithafrenzyofcombinedtradeandforeign“partnership”campaignsaimedatlockingindecadesofforeigncommoditysupplies.China,sinfrastructureandcommoditiesspendingspree,fundedfromitsvaststoreofUStreasuries,movesthevalueoftheUSdollardownandsimultaneouslyforcesthefloatationoftheChineseRMB.Shockinglyquickly,theRMBsupplantstheUSdollarastheglobalreservecurrency.ComingthroughthestormTheUSAishithardandthereisagloballossinconfidenceintheUSAasastablelong-termeconomy.ForeignDirectInvestmentintheUSAfalls.InvestorsengageinaflighttoqualitybymovingoutoftheUSandboostingChina,sinwardForeignDirectInvestment.Overall,theworldeconomysuffersshorttermlossesduetothehastytransitionofglobalcurrenciesbutthelongertermmacroeconomicviewishealthyduetothegrowthofthedynamicdomesticChinesemarket.GlobalGDPimpactWeestimatethemacroeconomicimpactofthisscenariobyshockingtheUSDollar,theChineseRMBandinterestratesandforeigndirectinvestmentlevelsinboththeUSAandChinawithintheGlobalEconomicModelofOxfordEconomics.Thisyields'GDPRiSk'whichestimatesthelosstotheglobalgrossdomesticproductover5years,i.e.,thecumulativeeffectofthisscenarioontheglobaleconomy.GPDRiSk,expressedinrealtermsinUSdollars,rangesfrom$1.9trillionforSi,aloss,toaglobalgainintheXivariantof$1.6trillion.TheUSexpectedlytakesthelargestplungeinGDPoutputlosses,whiletheothermajoreconomiesrecordgainsornegligibleimpactstotheirGDP,signallingthatgrowthintheChineseeconomyisultimatelybeneficialglobally.TheseimpactsareconsideredinsignificantwhencomparedtotheGreatFinancialCrisiswhoseGDPRishisaround$20trillionin2015dollars.FinancialmarketimpactWeestimatetheportfolioimpactsofthisscenariobymodellingtheoutputsfromOxfordEconomics5GlobalEconomicModelintoportfolioreturns,projectingmarketchangesandcashflowswhilekeeptheallocationpercentagesfixed.Wealsodefaultallcorporatebondsgiventhe2008defaultrates.Although,themacroeconomicshocksareappliedfor5years,thisistheonlyscenariowhereweseetheportfoliobegingeneratingpositivereturnsafterthefirstyear.ThemaximumdownturnexperiencedfortheConservativeportfoliointheSivariantis-18.94%innominaltermswhichoccursinYr1Q4.TheworstperformingequityaretheUSstocks(W5000)whilethebestperformingequitiesaretheUK(FTSE100).TheworstperformingfixedincomebondistheUSwhileGermanbondsperformthebest.TheworstperformingportfoliostructureisAggressive,witha-20.06%lossfortheSivariant.ForportfolioprotectionitisrecommendedthatequityandfixedincomeallocationisshiftedawayfromUStowardsUKandGermany.RiskmanagementstrategiesScenariosasstresstestsThisscenarioisanillustrationoftherisksposedbysocialunresttriggeredbycatastrophicevent.TheDollarDeposedscenarioisjustoneexampleofawiderangeofscenariosthatcouldoccur.Thisscenarioaimstoimproveorganizations*operationalriskmanagementplansaroundcontingencies,andstrategiesforsurvivingfinancialandcounterpartychallenges.Itpresentsacapitalstresstestforinsurerstoassesstheirabilitytomanageunderwritinglosseswhilealsosufferingmarketimpactsontheirinvestmentportfolios.SummaryofEffectsofDollarDeposedScenarioandVariantsScenarioVariantS1S2X1VariantDescriptionStandardScenarioScenarioVariantExtremeVariantBondMarketStress(US)210%280%440%Short-termInterestRates(US)180%250%310%Dollardevaluation-AgainstChineseRMB-AgainstRoWcurrencies-10%-2%-25%-5%-50%-10%MaCrOeCOnOrniCIOSSeSGlobalrecessionseverity(MinimumqtrlygrowthrateglobalGDP)0.7%-0.3%0.8%GlobalrecessiondurationNorecessionGDPRisk$Tr(5yearlossofglobaloutput)$1.9Trillion$1.6Trillion-$1.6TrillionGDP(三)Risk%(as%of5-yearbaselineGDP)0.5%0.4%-0.4%POrtfOliOImPaCtPerformanceatperiodofmaxdownturnHighFixedIncome-17%-24%-31%Conservative-19%-27%-36%Balanced-20%-28%-37%Aggressive-20%-29%-37%ASSetClaSSPerfOrmanCeYr1Qr4Yr3Qr4Yr1Qr4Yr3Qr4Y11Qr4Yr3Qr4USEquities(W5000),%Change-22%9%-36%7%-118%3%UKEquities(FTSE100),%Change1%26%0%29%1%30%USTreasuries2yrNotes,%Change-15%-4%-23%-5%-31%-10%USTreasuries10yrNotes,%Change-55%-26%-81%-60%-108%-121%Table1:SummaryimpactsoftheDollarDeposedscenarioTrillionUS$GDP(g)RiskacrossscenariosS1S2X1MillennialUprisingSocialUnrestRisk1.64.68.1IDollarDeposedIDe-AmericanizationoftheFinancialSystemRisk1.91.6-1.6SybilLogicBombCyberCatastropheRisk4.57.415IHighInflationWorld4.9810.9FoodandOilPriceSpiralRisklSaoPaoloInfluenzaVirusPandemicRisk71023EurozoneMeltdown11.216.323.2SovereignDefaultRisk£GlobalPropertyCrashAssetBubbleCollapseRisk13.219.6LChina-J叩anConflictGeopoliticalWarRisk1727322007-12GreatFinancialCrisis18GreatFinancialCrisisat201420Table2:GDP(三)RiskimpactoftheHighInflationWorldscenariocomparedwithpreviousCentreforRiskStudiesstresstestscenarios2FinancialCatastropheStressTestScenariosThisscenarioisanillustrationoftherisksposedbyaplausiblebutextremefinancialmarketbasedcatastrophe.Itrepresentsjustoneexampleofsuchacatastropheandisnotaprediction.Itisauwhat-if,exercise,designedtoprovideastresstestforriskmanagementpurposesbyinstitutionsandinvestorswishingtoassesshowtheirsystemswouldfareunderextremecircumstances.ThisscenarioisoneofaseriesofstresstestscenariosdevelopedbytheCentreforRiskStudiestoexplorethemanagementprocessesfordealingwithanextremeshockevent.Itisoneoffourfinancialmarketcatastrophescenariosbeingmodelledunderthisworkpackageandincludesthefollowing: GlobalPropertyCrash:AssetBubbleCollapse; HighInflationWorld:FoodandOilPriceSpiral; EurozoneMeltdown:SovereignDefaultCrisis.Thescenariospresentaframeworkforunderstandinghowglobaleconomicandfinancialcollapsewillimpactregions,sectorsandbusinessesthroughoutthenetworkedstructureoftheeconomy.Thesefinancialstresstestsaimtoimproveorganisations,operationalriskmanagementplanstoformcontingenciesandstrategiesforsurvivingandminimisingtheimpactsfrommarket-basedfinancialcatastrophe.Inparticular,thestresstestsallowinstitutionstomanageandbuildresiliencetodifferentformsofriskduringperiodsoffinancialstress.Theserisksinclude: financialandinvestmentriskstemmingfromacollapseinassetpricesacrossdifferentsectorsandregions; supplychainriskandtheabilityofaninstitutiontoeffectivelymanageitsinputrequirementsthroughitssupplychain,tomeetinternalproductionandoperationalrequirements; customerdemandriskandknowledgeforhowdemandmightshiftforgoodsandservicesduringperiodsoflowinvestmentandconsumerspending; marketorsegmentationriskandanunderstandingofhowotherfirmswithinthesamesectorwillreactandperformduringperiodsoffinancialstressandhowthismayimpactonthebusiness; reputationalriskandtheprotectionofbrandimageforreactingappropriatelyandconfidentlyundercrisisconditions.EachindividualscenariomayrevealsomeaspectsofpotentialVUlnerabilityforanorganisation,buttheyareintendedtobeexploredasasuiteinordertoidentifywaysofimprovingoverallresiliencetounexpectedshocksthatarecomplexandhavemultifacetedimpacts.MarketcatastropheriskandfinancialcontagionTheGreatFinancialCrisisof2007-8notonlyrevealedtheextenttowhichtheglobalfinancialsystemisinterconnectedbuthowinterrelationshipsbetweencommercialbanks,investmentbanks,centralbanks,corporations,governments,andhouseholdscanultimatelyleadtosystemicinstability.Asglobalfinancialsystemsbecomeincreasinglyinterconnected,ashocktoonepartofthesystemhasthepotentialtosendacascadeofdefaultsthroughouttheentirenetwork.In2008,itwasonlythroughgovernmentinterventionintheformofextensivebailoutpackagesthatawidespreadcollapseoftheglobalfinancialsystemwasavoided.Newmodelsoftheglobalfinancialsystemareanessentialtoolforidentifyingandassessingpotentialrisksandvulnerabilitiesthatmayleadtoasystemicfinancialcrisis.Theliteratureidentifiesthreetypesofsystemicrisk:(i)build-upofwide-spreadimbalances,(ii)exogenousaggregateshocksand(iii)contagion(Sarlin,2013).Similarlyweworkwiththreeanalyticalmethodsthathelpdealwithdecisionsupport:(i)early-warningsystems,(ii)macrostress-testing,and(iii)contagionmodels.AllthreemethodsareactivelyunderresearchintheCentreforRiskStudiesandutilisedinthedevelopmentofthesestresstestscenarios.UnderstandingfinancialcatastrophethreatsThisscenarioexplorestheconsequencesofafinancialmarketcatastrophebyexaminingthenotional-in-100possibilityforaDollarDeposedScenarioandexamininghowtheshockwouldworkthroughthesystem.Foraprocessthattrulyassessesresiliencetofinancialcatastrophe,weneedtoconsiderhowdifferentmarket-basedcatastrophesoccurandthenpropagatetheseshocksthroughglobalfinancialandeconomicsystems.Thisexercisewouldideallyincludeathoroughanalysisforeachdifferenttypeofmarketcatastropheinadditiontothefourfinancialcatastrophesincludedinthissuiteofstresstests.Suchananalysiswouldalsoincludearangeofdifferentseveritiesandcharacteristicsforthesescenarioswouldoccurasaresultofthesedifferentfinancialandeconomiccrises.TheCambridgeRiskFrameworkattemptstocategorizeallpotentialcausesoffutureshocksintoa“UniversalThreatTaxonomy.,Wehavereviewedmorethanathousandyearsofhistoryinordertoidentifythedifferentcausesofdisruptiveevents,collatingotherdisastercataloguesandcategorizationstructures,andresearching