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1、CambridgeCentreforRiskStudiesCambridgeRiskFrameworkCentreforRiskStudiesr三UniversityofFCAMBRIDGEIudgcBusinessSchlCambridgeCentreforRiskStudiesUniversityofCambridgeJudgeBusinessSchoolTrumpingtonStreetCambridge,CB21AGUnitedKingdomries.riskj6s.cam.ac.ukhttp，WWW.risk.jbs.cam.ac.ukDecember2015TheCambridge
2、CentreforRiskStudiesacknowledgesthegeneroussupportprovidedforthisresearchbythefollowingorganisations:TheviewscontainedinthisreportareentirelythoseoftheresearchteamoftheCambridgeCentreforRiskStudies,anddonotimplyanyendorsementoftheseviewsbytheorganisationssupportingtheresearch.Thisreportdescribesahyp
3、otheticalscenariodevelopedasastresstestforriskmanagementpurposes.Itdoesnotconstituteaprediction.TheCambridgeCentreforRiskStudiesdevelopshypotheticalscenariosforuseinimprovingbusinessresiliencetoshocks.Thesearecontingencyscenariosusedfor*what-ifstudiesanddonotconstituteforecastsofwhatislikelytohappen
4、.AssetBubbleCollapseStressTestScenarioGlobalPropertyCrashContents1 ExecutiveSummary22 FinancialCatastropheStressTestScenarios63 AssetBubblesasaFinancialCatastrophe114 DefiningtheScenario135 TheScenario156 ModellingBank-to-BankRelationshipsintheGlobalFinancialSystem177 MacroeconomicAnalysis208 Impact
5、onInvestmentPortfolio279 MitigationandConclusions3410 Bibliography35AssetBubbleCollapseStressTestScenarioGlobalPropertyCrashExecutiveSummaryTypically,anassetbubbleisonlyrecognisedasandwhenitbursts,withpricesdroppingrapidlyandsubstantially.Inthisscenariowedescribeanassetbubblecollapsethatiscausedbyin
6、flatedglobalrealestateassetprices.ItisoneoffourFinancialCatastrophescenarioscompletedinthisseriesofstresstestscenarios.Stresstestsareshowntobeaneffectivetoolforunderstandingcauseandeffectrelationshipsandforunderstandingriskexposureacrossaspectrumofextremeshocks,suchasthoseproposedintheCambridgeTaxon
7、omyofThreats,encompassingfiveclassesofbusinessrisk.,Cambridge Centre for Risk Studies, A Taxonomy of Threats for Complex Risk Managementw, 2014Asuiteofscenarioscanbeusedasabasisfortestingagainstvulnerabilitiesandimproveresilience.GlobalPropertyCrashManyofthecountriesaroundtheworldarealsothoughttobei
8、nthemidstofaloominghousingbubblecollapse. In come the wavesw, The Economist Special report, 16 June 2005TheGlobalPropertyCrashScenariodescribesapropertybubblethatistriggeredintheemergingboommarketsofSouthEastAsiaandpropagatesacrosscontinentsasinvestorsandbankslosefaithinglobalpropertymarkets.Followi
9、ngthehousingmarketcollapseinIndiaandChinathecontagionspreadsandaffectsbothmortgageandnon-mortgageassetpricesinAsiaPacific,Scandinavia,Europeandbeyond.Theeconomicimpactcausesaworldwiderecessionlastingfromoneyeartoeighteenmonthsacrossthedifferentscenariovariants.Theoverallloss,expressedaslostglobalGro
10、ssDomesticProduct(GDP)comparedwiththeprojectedbaselineeconomicoutputoverafiveyearperiod(GDPRisk)，isestimatedasbeingbetween$13.2and$19.6trillion,dependingonthevariantofthescenario.TheGreatFinancialCrisisof2007-2011,comparatively,sawalossof$20trillionin2015dollarestimates.Acontextforfinancialcatastrop
11、heScenarioselectionOurresearchshowsthefrequencyofmarketbasedcatastropheshasincreasedwithglobalisation.Between1700and1900theaveragetimebetweencriseswas21years;sincei960,theintervalhasshrunktoeightyears. Needham, D., 4lHistorical Catalogues of Financial Catastrophes*, presentation at the University of
12、 Cambridge, 10 July, 2014Economicinterconnectivityplaysakeyroleintheseverityandthespreadofcontagionfromburstingassetbubbles.TheGlobalPropertyCrashScenariodepictsthecollapseofbothmortgageandnon-mortgageassetstriggeredintheemergingandBRICsmarketsbeforespreadingacrosstheworld.VariantsofthescenarioInour
13、 Prior to records from FTSE and S&P, We use surrogate stocks such as those from American railroad stock prices and other constructed indexes. We use similar surrogate data for estimating growth rates prior to the availability of standardised data. Our identification of%iles uses a normal curve fitti
14、ng which is nservative in light of the fat tails associated with equity price distributions.standard,scenario,Si,therealestateandequitymarketsareshockedbylossesofupto35%and10%respectivelyinacascadeacrosssixseparatecountrygroupings:Tier1-China&emergingmarkets;Tier2-theCommonwealth;Tier3-theNordics;Ti
15、er4-theUnitedKingdom;andTiers5and6-Europe.Marketsentimentislikewiseaffected,havinganimpactacrossallassetclasses,particularlysharemarketequities.InS2,theglobalpropertycrashextendstoinclude:Tier7-theUnitedStates;Tier8-PrudentEuropeandTier9-IndustrialAsia.Inthisvariant,therealestateandequitymarketsshoc
16、ksareincreasedby60and12%respectively.ThescaleoflossinflictedbytheGlobalPropertyCrashScenariohasbeenveryroughlycalibratedtocorrespondtoaneventthathappensaboutonceacenturyonaverage,a1-in-100yearevent.Twoindicatorsthatmaygiveasenseofthelikelihoodofacatastrophescenariooccurringareitsimpactonequityreturn
17、sandGDPgrowthrates,whichareexpectedtobenegativeinthethroesofacatastrophe.US(UK)equitiesoverthelasttwohundredyears4haveexperiencedreturnratesbelow-24%(-13%)aboutonceintwentyyears,withreturnratesbelow-36%(-20%)onceinevery100years(1-in-100).Inourscenariovariants,thosereturnratesaresimilarregardingtheUS
18、,withreturnratesof-20%forSiand-40%forS2,andmuchmoredramaticfortheUKwherethescenarioreturnratesare-70%forSiand-73%forS2.Thatis,theUSdatasuggestthatanimpactatthescaleoftheGlobalPropertyCrashScenarioismorelikelythana1-in-100yeareventwhileintheUKitwouldappeartobemuchlesslikelyfromanhistoricalperspective
19、.ThehistoricalrecordofeconomicgrowthintheUS(UK)showsgrowthratesbelow-7%(-3%)as1-in-20yearevents,andratesbelow-13%(-5%)as1-in-100yearevents.InSiandS2thoseratesarecalculatedas-1%and-4%fortheUS,and-6.0%and-8.3%fortheUK.AgaintheimpactlevelofaGlobalPropertyCrashScenarioseemsmorelikelythana1-in-100eventin
20、theUSandlesslikelythana1-in-100eventintheUK.Thisisastresstest,notapredictionThisreportisoneofaseriesofstresstestscenariosthathavebeendevelopedbytheUniversityofCambridgeCentreforRiskStudiestoexploremanagementprocessesfordealingWithextremeshocks.Itdoesnotpredictwhenacatastrophemayunfold.Itdoeshoweverp
21、rovideinsightintothetypesofexposurethatmaybeexperiencedifasimilarcatastropheweretooccur.AcascadeofburstingpropertybubblesThebubbleburstsThetriggerforthisfinancialcatastropheisthecollapseofinvestorconfidenceinthepropertymarketsofSouthEastAsia,semergingeconomies.Thistriggersaregionalshiftininvestorbeh
22、aviourwhichcollapsesthepropertymarketsinChinaandIndia.FinancialtsunamiacrossthePacificTheburstingpropertybubbleinChinaripplesthroughinternationalfinancialandbankingsystems.ItarrivesfirstinAustralia,andthentravelsacrosstoNewZealandandCanada.ContagiongoesglobalThenextcasualtyistheNordicPrOPertymarkets
23、,witheconomistsidentifyingtheburstingbubbleasaaglobalcollapse,TheUKhousingmarketcrashesandpropertypricesplummetacrossEurope.Withinayearoftheproperty7collapsetheIMFdeclaresaglobalrecession.QuarterlyglobalGDPgrowthratesreachalowofby-1.5%.Commoditypricesfallbyover20%,puttingmanyeconomiesintoadeflationa
24、ryspiral.GlobalGDPimpactInmacroeconomicterms,theGlobalPropertyCrashScenarioinducesshockstoinflation,shortterminterestrates,equityindices,countrycreditratings,andGDPgrowthrates.WeestimatetheeffectsoftheseshocksontheworldeconomyusingtheGlobalEconomicModel(GEM)ofOxfordEconomics,.Inparticularwedetermine
25、thecumulativelosstoglobalgrossdomesticproductovera5yearperiod,dubbed“GDPRiSk”.Nationswitharelativelyhigherproportionofgovernmentdebt,coupledwithhighlyinflatedpropertymarketsexperiencethemostsevereeconomicconsequences.ThisscenarioattributesmorethanhalfoftotalGDPlossestotheUSandEuropeaneconomies,andcr
26、eatesadeepglobalrecessionlastinguptosixquarters.TheSivarianthasaglobalGDPRiskofUS$13.2trillion,whiletheS2varianthasaglobalGDPRiskof19.6trillion.AcaveatisthatthisanalysisviatheGEMdoesnotaccountforextraordinaryinterventionbynationalgovernmentstostabilisetheirrealestate,equity,orbankingmarkets.ThustheG
27、DPRiskfigurescanbeviewedasanassessmentoffundamentaleconomiclossesthatcouldotherwisebemaskedbygovernments,whoseactionswouldpostponeorspreadeconomiclossesoveralongerperiodWithOUtrestoringthecumulativelostvalue.FinancialportfolioimpactWeestimatetheportfolioimpactsofthisscenariobymodellingtheoutputsfrom
28、OEMonportfolioreturns,projectingmarketchangesandcashflowswhilekeepingthevalueofassetallocationfixed.Wedefaultallcorporatebondsandresidentialmortgagebackedsecurities(RMBS)givenbythe2008defaultrates.Interestingly,theSiscenariobeginstorecoverafterthreeyears,whiletheS2variantdoesnotrecoveroverthefiveyea
29、rmodellingperiod.ThemaximumdorntumexperiencedfortheconservativeportfoliointheSivariantoccursinYr1Q4withadeclineof15.4%.TheworstperformingequitiesareUKstocks(FTSE-100),whilethebestperformingequitiesareGermanstocks(DAX).TheworstperformingfixedincomebondsareJapanesebondswhileUSbondsperformthebest.Thewo
30、rstperformingportfoliostructureistheaggressiveportfoliowithadeclineof-22.5%intheSivariant.RiskmanagementstrategiesScenariosasstresstestsThisscenarioisanillustrationoftherisksposedbysocialunresttriggeredbycatastrophicevent.TheGlobalPropertyCrashscenarioisjustoneexampleofawiderangeofscenariosthatcould
31、occur.SummaryofEffectsofGlobalPropertyCrashScenarioandVariantsScenarioVariantS1S2VariantDescriptionStandardScenarioScenarioVariantAffectedPropertyMarketsTiers1-6Tiers1-9HousingPriceShock20-30%25-60%EquityPriceShock5-8%5-12%MarketConfidenceShock30-5030-70MaCrOeCOnOmiCIOSSeSGlobalrecessionseverity(Min
32、imumqtrlygrowthrateglobalGDP)-3.5%-4.7%Globalrecessionduration4Qtrs6QtrsGDPRiSk$Tr(5yearlossofglobaloutput)$13.2Trillion$19.6TrillionGDP(三)Risk%(as%of5-yearbaselineGDP)3.3%5.0%POrtfOliOImPaCtPerformanceatperiodofmaxdownturnHighFixedIncome-7%-7%Conservative-15%-23%Balanced-19%-28%Aggressive-23%-33%AS
33、SetClaSSPerfOrTnanCeYr1Qr4Yr3Qr4Yr1Qr4Yr3Qr4USEquities(W5000),%Change-20%4%-39%-36%UKEquities(FTSE100),%Change-72%-43%-73%-49%USTreasuries2yrNotes,%Change0%3%0%5%USTreasuries10yrNotes,%Change2%15%2%17%Table1:SummaryimpactsoftheGlobalPropertyCrashscenarioTrillionUS$GDPRiskacrossscenariosS2X1*Millenni
34、alUprisingSocialUnrestRisk1.64.68.1谡DollarDeposedDe-AmericanizationoftheFinancialSystemRisk1.91.6-1.6SybilLogicBombCyberCatastropheRisk4.57.415FHighInflationWorldFoodandOilPriceSpiralRisk4.9810.9SaoPaoloInfluenzaVirusPandemicRisk71023EurozoneMeltdownSovereignDefaultRisk11.216.323.2GlobalPropertyCras
35、hAssetBubbleCollapseRisk13.219.6China-SpanConflictGeopoliticalWarRisk1727322007-12GreatFinancialCrisis18GreatFinancialCrisisat201420Table2:GDP(三)RiskimpactoftheGlobalPropertyCrashscenariocomparedwithpreviousCentreforRiskStudiesstresstestscenarios2FinancialCatastropheStressTestScenariosThisscenariois
36、anillustrationoftherisksposedbyaplausiblebutextremefinancialmarketbasedcatastrophe.Itrepresentsjustoneexampleofsuchacatastropheandisnotaprediction.Itisawhat?if,exercise,designedtoprovideastresstestforriskmanagementpurposesbyinstitutionsandinvestorswishingtoassesshowtheirsystemswouldfareunderextremec
37、ircumstances.ThisscenarioisoneofaseriesofstresstestscenariosdevelopedbytheCentreforRiskStudiestoexplorethemanagementprocessesfordealingwithanextremeshockevent.Itisoneoffourfinancialmarketcatastrophescenariosbeingmodelledunderthisworkpackageandincludesthefollowing: DollarDeposed:De-Americanisationoft
38、heGlobalFinancialSystem; HighInflationWorld:FoodandOilPriceSpiral; EurozoneMeltdown:SovereignDefaultCrisis.Thescenariospresentaframeworkforunderstandinghowglobaleconomicandfinancialcollapsewillimpactregions,sectorsandbusinessesthroughoutthenetworkedstructureoftheeconomy.Thesefinancialstresstestsaimt
39、oimproveorganisations,operationalriskmanagementplanstoformcontingenciesandstrategiesforsurvivingandminimisingtheimpactsfrommarket-basedfinancialcatastrophe.Inparticular,thestresstestsallowinstitutionstomanageandbuildresiliencetodifferentformsofriskduringperiodsoffinancialstress.Theserisksinclude: fi
40、nancialandinvestmentriskstemmingfromacollapseinassetpricesacrossdifferentsectorsandregions; supplychainriskandtheabilityofaninstitutiontoeffectivelymanageitsinputrequirementsthroughitssupplychain,tomeetinternalproductionandoperationalrequirements; customerdemandriskandknowledgeforhowdemandmightshift
41、forgoodsandservicesduringperiodsoflowinvestmentandconsumerspending; marketorsegmentationriskandanunderstandingofhowotherfirmswithinthesamesectorwillreactandperformduringperiodsoffinancialstressandhowthismayimpactonthebusiness; reputationalriskandtheprotectionofbrandimageforreactingappropriatelyandco
42、nfidentlyundercrisisconditions.Eachindividualscenariomayrevealsomeaspectsofpotentialvulnerabilityforanorganisation,buttheyareintendedtobeexploredasasuiteinordertoidentifywaysofimprovingoverallresiliencetounexpectedshocksthatarecomplexandhavemultifacetedimpacts.Marketcatastropheriskandfinancialcontag
43、ionTheGreatFinancialCrisisof2007-8notonlyrevealedtheextenttowhichtheglobalfinancialsystemisinterconnectedbuthowinterrelationshipsbetweencommercialbanks,investmentbanks,centralbanks,corporations,governments,andhouseholdscanultimatelyleadtosystemicinstability.Asglobalfinancialsystemsbecomeincreasingly
44、interconnected,ashocktoonepartofthesystemhasthepotentialtosendacascadeofdefaultsthroughouttheentirenetwork.In2008,itwasonlythroughgovernmentinterventionintheformofextensivebailoutpackagesthatawidespreadcollapseoftheglobalfinancialsystemwasavoided.Newmodelsoftheglobalfinancialsystemareanessentialtool
45、foridentifyingandassessingpotentialrisksandvulnerabilitiesthatmayleadtoasystemicfinancialcrisis.Theliteratureidentifiesthreetypesofsystemicrisk:(i)build-upofwide-spreadimbalances,(ii)exogenousaggregateshocksand(iii)contagion(Sarlin,2013).Similarlyweworkwiththreeanalyticalmethodsthathelpdealwithdecis
46、ionsupport:(i)early-warningsystems,(ii)macrostress-testing,and(iii)contagionmodels.AllthreemethodsareactivelyunderresearchintheCentreforRiskStudiesandutilisedinthedevelopmentofthesestresstestscenarios.UnderstandingfinancialcatastrophethreatsThisscenarioexplorestheconsequencesofafinancialmarketcatast
47、rophebyexaminingthenotional-in-100possibilityforaHighInflationWorldScenarioandexamininghowtheshockwouldworkthroughthesystem.Foraprocessthattrulyassessesresiliencetomarketcatastrophe,weneedtoconsiderhowdifferentmarket-basedcatastrophesoccurandthenpropagatetheseshocksthroughglobalfinancialandeconomicsystems.Thisexercisewouldideallyincludeathoroughanalysisforeachdifferenttypeofmarketcatastropheinadditiontothefourfinancialcatastrophesincludedinthissuiteofstresstests.Suchananalysiswouldalsoincludearangeofdifferentseveritiesandcharacteristicsforthesescenarioswouldoccurasaresultofthesedifferentfin
