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1、DOLLARDEPOSEDSTRESSTESTSCENARIOCambridgeCentreforRiskStudiesCambridgeRiskFrameworkDe-AmericanizationoftheGlobalFinancialSystemCentreforRiskStudisUniversityofCAMBRIDGEJudgeBusinessSchlCambridgeCentreforRiskStudiesUniversityofCambridgeJudgeBusinessSchoolTrumpingtonStreetCambridge,CB21AGUnitedKingdomen
2、quiries.risk(jbs.cam.ac.ukDecember2015TheCambridgeCentreforRiskStudiesacknowledgesthegeneroussupportprovidedforthisresearchbythefollowingorganisations:TheviewscontainedinthisreportareentirelythoseoftheresearchteamoftheCambridgeCentreforRiskStudies,anddonotimplyanyendorsementoftheseviewsbytheorganisa
3、tionssupportingtheresearch.Thisreportdescribesahypotheticalscenariodevelopedasastresstestforriskmanagementpurposes.Itdoesnotconstituteaprediction.TheCambridgeCentreforRiskStudiesdevelopshypotheticalscenariosforuseinimprovingbusinessresiliencetoshocks.Thesearecontingencyscenariosusedfor,what-ifstudie
4、sanddonotconstituteforecastsofwhatislikelytohappen.De-AmericanizationoftheFinancialSystemStressTestScenarioDollarDeposedContents1 ExecutiveSummary42 FinancialCatastropheStressTestScenarios83 De-AmericanizationoftheGlobalFinancialSystemasaFinancialCatastrophe124 DefiningtheScenario145 TheScenario166
5、MacroeconomicAnalysis177 ImpactonInvestmentPortfolio238 MitigationandConclusions309 Bibliography31De-AmericanizationoftheFinancialSystemStressTestScenarioDollarDeposed1ExecutiveSummaryTheriseandfallofdominantcurrencies,associatedwithtradeandlinkedtofinancialandpoliticalsystems,isarecurrentthemeinfin
6、ancialhistory.Wedescribeade-AmericanizationoftheglobalfinancialsystemasoneourfourFinancialCatastrophescenarios.Scenarioscangenerallybeusedtocoverthespectrumofextremeshocks,suchasthoseproposedintheCambridgeTaxonomyofThreats,whichencompassesfiveclassesofbusinessrisk.Asuiteofscenariosisabasisforaglobal
7、enterprisetoself-stresstestandimproveitsresilience.De-AmericanizationasaFinancialCrisisTheriseandreignoftheUSdollar,signpostedbytheendoftheSecondWorldWar,isthemostrecentandmostcompleteexampleofhowmonetaryhegemonyfunctionsasastabilisingforceintheglobaleconomy. D. Calleo (ed.), Money and the Coming Wo
8、rld Order, Lehrman Institute, New York UniVerSity Press, 1976From“greenback”to“redback”ThisscenarioimaginesaglobalfinancialshiftfromtheUSdollartotheChineserenminbiresultingfromcontinued,rapidandmassivedevelopmentofChinaonatracktowardsbecomingtheworld,slargestdomesticeconomy. KPMG, uChina,s 12th Five
9、-Year Plan: Ovendewn, 2011Theoverallimpactofthechangeoverinmonetaryhegemonydoesnotleadtoaworldwiderecessioninanyofthescenariovariants.TheUS,however,suffersayearlongrecessioninthefirstyearoftheshock,andanultimatelossof5.2%,7.3%and8.4%ofdomesticGDPacrossallvariants.IntheSiandS2scenarios,theoverallloss
10、,expressedaslostglobalGrossDomesticProductduringthescenariocomparedWiththeprojectedrateofgrowth(GDPRiSk)，isbetween$1.9and$1.6trillion,respectively.Intheextremevariant,Xi,however,theglobalGDPmakesareturnof$1.6trillionabovetheprojectednon-crisisgrowth.Whatisthelifeexpectancyofaglobalcurrency?Scenarios
11、election“Global”currencieshaveexistedaslongastherehasbeencross-culturaltrade,exemplifiedbythecommercialempiresofhistoricalRome,Byzantium,Italy,theNetherlands,andSpain.Hegemonystabilitytheorypostulatesthatadominantreservecurrencywithaweakeningeconomicbaseissuggestiveofatradecurrencyorreservecurrencys
12、hift. A. Walter, World Power and World Money, Prentice-Hall, 2003TheDollarDeposedScenarioisanalogoustothepost-WorldWarIIreplacementoftheBritishPoundSterlingbytheUSdollarasdominantcurrencyinthatitisunderpinnedbyeconomicweakness,largedebtandsignificantgeopoliticalshiftsthatareexternaltothereservecurre
13、ncynation.VariantsofthescenarioInourtstandard,scenario,identifiedasSi,thesizeoftheshockisgaugedbythedepreciationoftheUSdollarby10%againsttheChineseRMB,whichsupplantsitasthenewreservecurrency.ScenariovariantS2increasestheshocktoa25%depreciationofthedollarwhilethemostseverevariant,Xi,considers50%depre
14、ciation.ThescaleoflossinflictedbytheDollarDeposedScenariohasbeencalibratedtocorrespondtoaneventthathappensaboutonceacenturyonaverage,a1-in-100yearevent.Twoindicatorsthatmaygiveasenseofthelikelihoodofacatastrophescenariooccurringareitsimpactonequityreturnsandgrowthrates,whichareexpectedtobenegativein
15、thethroesofacatastrophe.US(UK)equitiesoverthelasttwohundredyearshaveexperiencedreturnratesbelow-24%(-13%)aboutonceintwentyyears,withreturnratesbelow-36%(-20%)signifying1-in-100events.Inourscenariovariants,thosereturnratesaresimilarregardingtheUS,withreturnratesof-30%forSiand-44%forS2,(andlessdramati
16、cfortheUKwherethescenarioreturnratesare-9%forSiand-13%forS2).Thatis,thesesuggestthatanimpactatthescaleoftheDollarDeposedScenarioisroughlycomparablewith-in-ooyearevent.NearzeroeconomicgrowthratesarefoundinourscenarioswhichdifferfromthehistoricalrecordofUS(UK)growthratesbelow-7%(-3%),whichare1-in-20ye
17、arevents,orratesbelow-13%(-5%)whichhappenseverycentury.Thisisastresstest,notapredictionThisreportisoneofaseriesofstresstestscenarios,producedbytheCentreforRiskStudies,toexploremanagementprocessesfordealingWithanextremeshock.Itdoesnotpredictacatastrophe.TheunfurlingscenarioDragonrisingChinacontinuest
18、oinvestheavilyinexpandingitsindustrialbase.Forthefirsttime,thereismassivegrowthininfrastructurenorthandwestoftraditionaleconomiczonesexemplifiedbythecoastalPearlRiverDeltaandcentralChongchingprovince.ThisisacceleratedbygrowingChina,sdomesticbondmarketsaswellasdevelopingregulationandfinancialmarketin
19、frastructurewithinChinaandinthepursuitofinternationalmarkets.ThedragonmakesrainAsChina,sinternaleconomylurchesforward,resourceandsocialstressorsrisetothefore.TheChinesegovernmentrespondsWithafrenzyofcombinedtradeandforeign“partnership”campaignsaimedatlockingindecadesofforeigncommoditysupplies.China,
20、sinfrastructureandcommoditiesspendingspree,fundedfromitsvaststoreofUStreasuries,movesthevalueoftheUSdollardownandsimultaneouslyforcesthefloatationoftheChineseRMB.Shockinglyquickly,theRMBsupplantstheUSdollarastheglobalreservecurrency.ComingthroughthestormTheUSAishithardandthereisagloballossinconfiden
21、ceintheUSAasastablelong-termeconomy.ForeignDirectInvestmentintheUSAfalls.InvestorsengageinaflighttoqualitybymovingoutoftheUSandboostingChina,sinwardForeignDirectInvestment.Overall,theworldeconomysuffersshorttermlossesduetothehastytransitionofglobalcurrenciesbutthelongertermmacroeconomicviewishealthy
22、duetothegrowthofthedynamicdomesticChinesemarket.GlobalGDPimpactWeestimatethemacroeconomicimpactofthisscenariobyshockingtheUSDollar,theChineseRMBandinterestratesandforeigndirectinvestmentlevelsinboththeUSAandChinawithintheGlobalEconomicModelofOxfordEconomics.ThisyieldsGDPRiSkwhichestimatesthelosstoth
23、eglobalgrossdomesticproductover5years,i.e.,thecumulativeeffectofthisscenarioontheglobaleconomy.GPDRiSk,expressedinrealtermsinUSdollars,rangesfrom$1.9trillionforSi,aloss,toaglobalgainintheXivariantof$1.6trillion.TheUSexpectedlytakesthelargestplungeinGDPoutputlosses,whiletheothermajoreconomiesrecordga
24、insornegligibleimpactstotheirGDP,signallingthatgrowthintheChineseeconomyisultimatelybeneficialglobally.TheseimpactsareconsideredinsignificantwhencomparedtotheGreatFinancialCrisiswhoseGDPRishisaround$20trillionin2015dollars.FinancialmarketimpactWeestimatetheportfolioimpactsofthisscenariobymodellingth
25、eoutputsfromOxfordEconomics5GlobalEconomicModelintoportfolioreturns,projectingmarketchangesandcashflowswhilekeeptheallocationpercentagesfixed.Wealsodefaultallcorporatebondsgiventhe2008defaultrates.Although,themacroeconomicshocksareappliedfor5years,thisistheonlyscenariowhereweseetheportfoliobegingene
26、ratingpositivereturnsafterthefirstyear.ThemaximumdownturnexperiencedfortheConservativeportfoliointheSivariantis-18.94%innominaltermswhichoccursinYr1Q4.TheworstperformingequityaretheUSstocks(W5000)whilethebestperformingequitiesaretheUK(FTSE100).TheworstperformingfixedincomebondistheUSwhileGermanbonds
27、performthebest.TheworstperformingportfoliostructureisAggressive,witha-20.06%lossfortheSivariant.ForportfolioprotectionitisrecommendedthatequityandfixedincomeallocationisshiftedawayfromUStowardsUKandGermany.RiskmanagementstrategiesScenariosasstresstestsThisscenarioisanillustrationoftherisksposedbysoc
28、ialunresttriggeredbycatastrophicevent.TheDollarDeposedscenarioisjustoneexampleofawiderangeofscenariosthatcouldoccur.Thisscenarioaimstoimproveorganizations*operationalriskmanagementplansaroundcontingencies,andstrategiesforsurvivingfinancialandcounterpartychallenges.Itpresentsacapitalstresstestforinsu
29、rerstoassesstheirabilitytomanageunderwritinglosseswhilealsosufferingmarketimpactsontheirinvestmentportfolios.SummaryofEffectsofDollarDeposedScenarioandVariantsScenarioVariantS1S2X1VariantDescriptionStandardScenarioScenarioVariantExtremeVariantBondMarketStress(US)210%280%440%Short-termInterestRates(U
30、S)180%250%310%Dollardevaluation-AgainstChineseRMB-AgainstRoWcurrencies-10%-2%-25%-5%-50%-10%MaCrOeCOnOrniCIOSSeSGlobalrecessionseverity(MinimumqtrlygrowthrateglobalGDP)0.7%-0.3%0.8%GlobalrecessiondurationNorecessionGDPRisk$Tr(5yearlossofglobaloutput)$1.9Trillion$1.6Trillion-$1.6TrillionGDP(三)Risk%(a
31、s%of5-yearbaselineGDP)0.5%0.4%-0.4%POrtfOliOImPaCtPerformanceatperiodofmaxdownturnHighFixedIncome-17%-24%-31%Conservative-19%-27%-36%Balanced-20%-28%-37%Aggressive-20%-29%-37%ASSetClaSSPerfOrmanCeYr1Qr4Yr3Qr4Yr1Qr4Yr3Qr4Y11Qr4Yr3Qr4USEquities(W5000),%Change-22%9%-36%7%-118%3%UKEquities(FTSE100),%Cha
32、nge1%26%0%29%1%30%USTreasuries2yrNotes,%Change-15%-4%-23%-5%-31%-10%USTreasuries10yrNotes,%Change-55%-26%-81%-60%-108%-121%Table1:SummaryimpactsoftheDollarDeposedscenarioTrillionUS$GDP(g)RiskacrossscenariosS1S2X1MillennialUprisingSocialUnrestRisk1.64.68.1IDollarDeposedIDe-AmericanizationoftheFinanci
33、alSystemRisk1.91.6-1.6SybilLogicBombCyberCatastropheRisk4.57.415IHighInflationWorld4.9810.9FoodandOilPriceSpiralRisklSaoPaoloInfluenzaVirusPandemicRisk71023EurozoneMeltdown11.216.323.2SovereignDefaultRiskGlobalPropertyCrashAssetBubbleCollapseRisk13.219.6LChina-J叩anConflictGeopoliticalWarRisk17273220
34、07-12GreatFinancialCrisis18GreatFinancialCrisisat201420Table2:GDP(三)RiskimpactoftheHighInflationWorldscenariocomparedwithpreviousCentreforRiskStudiesstresstestscenarios2FinancialCatastropheStressTestScenariosThisscenarioisanillustrationoftherisksposedbyaplausiblebutextremefinancialmarketbasedcatastr
35、ophe.Itrepresentsjustoneexampleofsuchacatastropheandisnotaprediction.Itisauwhat-if,exercise,designedtoprovideastresstestforriskmanagementpurposesbyinstitutionsandinvestorswishingtoassesshowtheirsystemswouldfareunderextremecircumstances.ThisscenarioisoneofaseriesofstresstestscenariosdevelopedbytheCen
36、treforRiskStudiestoexplorethemanagementprocessesfordealingwithanextremeshockevent.Itisoneoffourfinancialmarketcatastrophescenariosbeingmodelledunderthisworkpackageandincludesthefollowing: GlobalPropertyCrash:AssetBubbleCollapse; HighInflationWorld:FoodandOilPriceSpiral; EurozoneMeltdown:SovereignDef
37、aultCrisis.Thescenariospresentaframeworkforunderstandinghowglobaleconomicandfinancialcollapsewillimpactregions,sectorsandbusinessesthroughoutthenetworkedstructureoftheeconomy.Thesefinancialstresstestsaimtoimproveorganisations,operationalriskmanagementplanstoformcontingenciesandstrategiesforsurviving
38、andminimisingtheimpactsfrommarket-basedfinancialcatastrophe.Inparticular,thestresstestsallowinstitutionstomanageandbuildresiliencetodifferentformsofriskduringperiodsoffinancialstress.Theserisksinclude: financialandinvestmentriskstemmingfromacollapseinassetpricesacrossdifferentsectorsandregions; supp
39、lychainriskandtheabilityofaninstitutiontoeffectivelymanageitsinputrequirementsthroughitssupplychain,tomeetinternalproductionandoperationalrequirements; customerdemandriskandknowledgeforhowdemandmightshiftforgoodsandservicesduringperiodsoflowinvestmentandconsumerspending; marketorsegmentationriskanda
40、nunderstandingofhowotherfirmswithinthesamesectorwillreactandperformduringperiodsoffinancialstressandhowthismayimpactonthebusiness; reputationalriskandtheprotectionofbrandimageforreactingappropriatelyandconfidentlyundercrisisconditions.EachindividualscenariomayrevealsomeaspectsofpotentialVUlnerabilit
41、yforanorganisation,buttheyareintendedtobeexploredasasuiteinordertoidentifywaysofimprovingoverallresiliencetounexpectedshocksthatarecomplexandhavemultifacetedimpacts.MarketcatastropheriskandfinancialcontagionTheGreatFinancialCrisisof2007-8notonlyrevealedtheextenttowhichtheglobalfinancialsystemisinter
42、connectedbuthowinterrelationshipsbetweencommercialbanks,investmentbanks,centralbanks,corporations,governments,andhouseholdscanultimatelyleadtosystemicinstability.Asglobalfinancialsystemsbecomeincreasinglyinterconnected,ashocktoonepartofthesystemhasthepotentialtosendacascadeofdefaultsthroughouttheent
43、irenetwork.In2008,itwasonlythroughgovernmentinterventionintheformofextensivebailoutpackagesthatawidespreadcollapseoftheglobalfinancialsystemwasavoided.Newmodelsoftheglobalfinancialsystemareanessentialtoolforidentifyingandassessingpotentialrisksandvulnerabilitiesthatmayleadtoasystemicfinancialcrisis.
44、Theliteratureidentifiesthreetypesofsystemicrisk:(i)build-upofwide-spreadimbalances,(ii)exogenousaggregateshocksand(iii)contagion(Sarlin,2013).Similarlyweworkwiththreeanalyticalmethodsthathelpdealwithdecisionsupport:(i)early-warningsystems,(ii)macrostress-testing,and(iii)contagionmodels.Allthreemetho
45、dsareactivelyunderresearchintheCentreforRiskStudiesandutilisedinthedevelopmentofthesestresstestscenarios.UnderstandingfinancialcatastrophethreatsThisscenarioexplorestheconsequencesofafinancialmarketcatastrophebyexaminingthenotional-in-100possibilityforaDollarDeposedScenarioandexamininghowtheshockwou
46、ldworkthroughthesystem.Foraprocessthattrulyassessesresiliencetofinancialcatastrophe,weneedtoconsiderhowdifferentmarket-basedcatastrophesoccurandthenpropagatetheseshocksthroughglobalfinancialandeconomicsystems.Thisexercisewouldideallyincludeathoroughanalysisforeachdifferenttypeofmarketcatastropheinad
47、ditiontothefourfinancialcatastrophesincludedinthissuiteofstresstests.Suchananalysiswouldalsoincludearangeofdifferentseveritiesandcharacteristicsforthesescenarioswouldoccurasaresultofthesedifferentfinancialandeconomiccrises.TheCambridgeRiskFrameworkattemptstocategorizeallpotentialcausesoffutureshocksintoa“UniversalThreatTaxonomy.,Wehavereviewedmorethanathousandyearsofhistoryinordertoidentifythedifferentcausesofdisruptiveevents,collatingotherdisastercataloguesandcategorizationstructures,andresearching
