劍橋風(fēng)險(xiǎn)研究中心-高通脹世界金融災(zāi)難壓力測(cè)試（英）

CambridgeCentreforRiskStudies

CambridgeRiskFramework

FoodandOilPriceSpiralStressTestScenario

HIGHINFLATIONWORLDSTRESS

TESTSCENARIO

CambridgeCentreforRiskStudies

UniversityofCambridgeJudgeBusinessSchool

TrumpingtonStreet

Cambridge,CB21AG

UnitedKingdom

enquiries.risk@jbs.cam.ac.uk

http://www.risk.jbs.cam.ac.uk

December2015

TheCambridgeCentreforRiskStudiesacknowledgesthegeneroussupportprovidedforthis

researchbythefollowingorganisations:

TheviewscontainedinthisreportareentirelythoseoftheresearchteamoftheCambridgeCentreforRiskStudies,anddonotimplyanyendorsementoftheseviewsbytheorganisationssupportingtheresearch.

Thisreportdescribesahypotheticalscenariodevelopedasastresstestforriskmanagementpurposes.Itdoesnotconstituteaprediction.TheCambridgeCentreforRiskStudiesdevelopshypotheticalscenariosforuseinimprovingbusinessresiliencetoshocks.Thesearecontingencyscenariosusedfor‘what-if’studiesanddonotconstituteforecastsofwhatislikelytohappen.

FoodandOilPriceSpiralStressTestScenario

HighInflationWorld

Contents

1ExecutiveSummary4

2DefiningtheScenario8

3HighInflationasaFinancialCatastrophe12

4DefiningtheScenario15

5TheScenario17

6MacroeconomicAnalysis19

7ImpactonInvestmentPortfolio25

8MitigationandConclusions32

9Bibliography33

4

CambridgeCentreforRiskStudies

FoodandOilPriceSpiralStressTestScenario

HighInflationWorld

1ExecutiveSummary

Inthefollowingreport,wepresentanarrativeofhowglobalinflationarypressureoverseveralyearsimpactstheworldeconomyandfinancialmarkets.Thisprovidesabasisforaglobalenterprisetotestitsoperationalandstrategicmodel,asasteptowardimprovingitsresilience.Scenariosmoregenerallycanbeusedtocoverthespectrumofextremeshocks,suchasthoseproposedintheCambridgeTaxonomyofThreats,whichencompassesfiveclassesofbusinessrisk.1

HighInflationWorldScenario

Thisscenarioenvisionscostshocksinresponsetoshrinkingglobaloilsuppliesand,simultaneously,disruptionstocropproductionthatleadtoglobalfoodshortages.Theseinflationarydriverspersistovermanymonths,causinginternationaleconomicandhumanitarianpressures.

Theeconomicimpact,expressedaslostglobalGrossDomesticProductoverfiveyears,comparedwiththeprojectrateofgrowth(“GDP@Risk”),isbetween$4.9,$8and$10.9trillion,dependingontheseverityofthecommoditypriceshock.TheGreatRecessionof2007-2011,comparatively,sawalossof$20trillionin2015dollarestimates.Inthisperspective,althoughtheHighInflationWorldScenarioinflictssevereeconomicloss,thecatastrophedoesnotpreventtherecoveryoftheglobaleconomyovertime.

HighInflationasaFinancialCrisis

Scenarioselection

Inflationistiedtotherelationshipbetweenaggregatesupplyanddemand.Cost-pushdescribesasupplyshortage,e.g.,duetoadisruptioninproductionofacommodity.Demand-pulldescribesincreasingdemand,perhapsresultingfromalooseningofcredit.Inbothcases,inflationofcommoditypricesoccurs.TheHighInflationWorldScenarioisacost-pushsituationdrivenbyrelativescarcityofbothoilandagriculturalcommodities.Thefinalimpactofthesepricehikesdependsheavilyonthelevelofexposureacountryhastoeachcommodity.

1CambridgeCentreforRiskStudies,“ATaxonomyofThreatsforComplexRiskManagement”,2014

Nonetheless,thedirectimpactofaglobalhighinflationisthecorrespondingincreaseinunemploymentrates,albeitvaryingseverity,acrossmajoreconomies.

Variantsofthescenario

Wecalibratethreevariantsofthescenariousingdifferentlevelsofinflationforfoodandenergyprices.InourstandardscenarioS1,commoditypricesjumpbetween180and210%ofthepre-existingpricelevels,withpricespeakingaround15monthsaftertheinitialshock.ScenariovariantS2andextremevariantX1aresimilartothestandardscenario,butthecommoditypriceincreasesareraisedupto280and440%,respectively.

ThescaleoflossinflictedbytheHighInflationWorldScenariohasbeencalibratedtocorrespondapproximatelytoaneventthathappensaboutonceacenturyonaverage,a1-in-100yearevent.Twoindicatorsthatmaygiveasenseofthelikelihoodofacatastrophescenariooccurringareitsimpactonequityreturnsandgrowthrates,whichareexpectedtobenegativeasaresultofcatastrophe.

InthecaseoftheHighInflationWorldScenario,however,ouranalysisdoesnotshowextremebehaviourineitherofthesecategories.US(UK)equitiesoverthelasttwohundredyears2haveexperiencedreturnratesbelow-24%(-13%)aboutonceintwentyyears,withreturnratesbelow-36%(-20%)signifying1-in-100events.Inourscenariovariants,thosereturnratesarebarelyeffectedotherthanintheextremeX1variantinwhichequityreturnratesare-8%intheUSand-4%intheUK.

Nearzeroeconomicgrowthratesarefoundinourscenariosbutthesedon’tcomparetothehistoricalrecordforUS(UK)growthratesbeingbelow-7%(-3%),whichare1-in-20yearevents,orratesbelow-13%(-5%)whichhappenseverycentury.

2PriortorecordsfromFTSEandS&P,weusesurrogatestockssuchasthosefromAmericanrailroadstockpricesandotherconstructedindexes.Weusesimilarsurrogatedataforestimatinggrowthratespriortotheavailabilityofstandardiseddata.Ouridentificationof%ilesusesanormalcurvefittingwhichisconservativeinlightofthefattailsassociatedwithequitypricedistributions.

5

HighInflationWorldStressTestScenario

Thisisastresstest,notaprediction

ThisreportisoneofaseriesofstresstestscenariosthathavebeendevelopedbytheCentreforRiskStudiestoexploremanagementprocessesfordealingwithanextremeshock.Itdoesnotpredictacatastrophe.

Seedsofshortage

Farmingfailure

TheScenarioassumesthatthemiddleoftheyearbringswithitboutsofextremeweatheracrossthenorthernhemisphere:alongheatwaveinthePacificWest,floodsintheSub-Indiancontinent,heavyrainsintheAtlanticanddroughtinnorthernChina.Grainyieldsaresuretosuffer.

Concurrently,apandemicsweepsthroughtheworld’spopulationofbees.Inadequatepollinationpreventstheworldwidedevelopmentofnuts,fruitandotheragriculturalproducts.

HoldingtheStraitofHormuzHostage

AmilitantgroupestablishesholdontheStraitofHormuzinthePersianGulf,effectivelyseizingcontrolof20%oftheworld’scrudeexports.ThegrouprestrictstheinternationalshipmentofcrudeoilthroughtheStraits,hikingthepriceofoiltoover$170perbarrel.Theimpactaffectstheinternationalmeatanddairyindustriessignificantly.Thecombinationofhighproductioncostsandefficiencylossesaffectaggregatedemandasacost-pushspiralemergesworldwide.

Globalstagflation

Astheinternationalenergycrisiscontinuestheconsumerpriceindexspikesinmanynations,drivingdemandsfornationalwageincreases.Stagflationemergesacrosstheglobeascountriesthatimplementwagehikesexperienceanunemploymentspiral.

Inanefforttocurtailworldwidestagflationattheheightofthecrisis,nationalcentralbanksgraduallyadjustinterestratesinordertosuppressconsumerspendingandrelieveeconomicpressure.Aftereighteenmonths,pricesbegintostabiliseandtherateofinflationdrops.

GlobalGDPimpact

TounderstandhowtheHighInflationWorldscenarioimpactstheglobaleconomyweusetheGlobalEconomicModel(GEM),OxfordEconomics’quarterly-linkedinternationaleconometricmodel.Priceshocksareapplieddirectlytoworldfoodandenergypricesovera15monthperiod,andthemodeladjustsendogenouslytoallocateinflationrateincreasesacrosstheworld.

WeusetheGEMtoestimatethelossinglobalgrossdomesticproduct,cumulatedovera5yearperiod,whichisattributedtothisstresstestscenario.Wetermthisloss‘GDP@Risk’.

GPD@Risk,expressedinrealtermsinUSdollars,rangesfromalossof$US4.9trillionforS1to$US10.9trillionintheX1variant.

However,thisscenariodoesnotnecessarilyleadtoaglobalrecession,butinsteadslowsdowntheeconomicgrowthconsiderably.TheseimpactsaresignificantbutnotofthesamescaleastheGreatFinancialCrisis,from2008-2012,whoseGDP@Riskisaround$20trillionin2015dollars.

Financialmarketimpact

WeestimatetheportfolioimpactsofthisscenariobymodellingtheoutputsfromOEMintoportfolioreturns,projectingmarketchangesandcashflowswhilekeeptheallocationpercentagesfixed.Wealsodefaultallcorporatebondsgiventhe2008defaultrates.

Giventhattheconsumerpriceindex(CPI)wasdirectlyshockedinthemacroeconomicmodelling,weseethatthetotalportfolioreturnsinreal%aremoresignificantlyimpactedthaninnominaldollars.

ThemaximumdownturnexperiencedfortheConservativeportfoliointheS1variantis-3.89%innominalor-9.69%inrealtermsandoccursinYr2Q4.Bestandworstperformances(withinequities)aretheUK(FTSE100),andJapan(N225);withinfixedincome,USandJapanesebonds,withtheworstperformingportfoliostructurebeinghighfixedincome,at7.93%fortheS1variant.

ForportfolioprotectionitisrecommendedthatequityallocationisshiftedawayfromJapantowardsUKandawayfromJapanfixedincometowardsUSfixedincome.

Riskmanagementstrategies

Scenariosasstresstests

Thisscenarioisanillustrationoftherisksposedbysocialunresttriggeredbycatastrophicevent.TheHighInflationWorldscenarioisjustoneexampleofawiderangeofscenariosthatcouldoccur.

Thisscenarioaimstoimproveorganizations’operationalriskmanagementplansaroundcontingencies,andstrategiesforsurvivingfinancialandcounterpartychallenges.Itpresentsacapitalstresstestforinsurerstoassesstheirabilitytomanageunderwritinglosseswhilealsosufferingmarketimpactsontheirinvestmentportfolios.

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CambridgeCentreforRiskStudies

SummaryofEffectsofHighInflationWorldScenarioandVariants

ScenarioVariantS1S2X1

VariantDescriptionStandardScenarioScenarioVariantExtremeVariant

Worldenergypriceshock210%280%440%

Worldfoodpriceshock180%250%310%

Pricespiralduration5Qtrs5Qtrs5Qtrs

Macroeconomiclosses

uiglobalGDP)1.9%1.4%0.6%

GlobalrecessiondurationNorecession

GDP@Risk$Tr

(5yearlossofglobaloutput)$4.9Trillion$8.0Trillion$10.9Trillion

i5s-rbaselineGDP)1.7%2.2%2.6%

PortfolioImpact

Performanceatperiodofmaxdownturn

HighFixedIncome-8%-10%-16%

Conservative-4%-7%-14%

Balanced-3%-6%-13%

Aggressive-1%-4%-12%

Assetclassperformance

Yr1Qr4Yr3Qr4Yr1Qr4Yr3Qr4Yr1Qr4Yr3Qr4

USEquities(W5000),%Change-20%4%-39%-36%-1%-1%

UKEquities(FTSE100),%Change-72%-43%-73%-49%-3%18%

USTreasuries2yrNotes,%Change0%3%0%5%-7%-16%

USTreasuries10yrNotes,%Change2%15%2%17%-13%-22%

Table1:SummaryimpactsoftheHighInflationWorldscenario

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HighInflationWorldStressTestScenario

TrillionUS$GDP@Riskacrossscenarios

S1

S2

X1

1.6

4.6

8.1

MillennialUprising

SocialUnrestRisk

1.9

1.6

-1.6

DollarDeposed

De-AmericanizationoftheFinancialSystemRisk

15

4.5

7.4

SybilLogicBomb

CyberCatastropheRisk

HighInflationWorld

FoodandOilPriceSpiralRisk

4.9

8

10.9

10

23

7

SaoPaoloInfluenzaVirus

PandemicRisk

EurozoneMeltdown

SovereignDefaultRisk

11.2

16.3

23.2

GlobalPropertyCrash

AssetBubbleCollapseRisk

13.2

19.6

China-JapanConflict

GeopoliticalWarRisk

17

27

32

2007-12GreatFinancialCrisis

18

GreatFinancialCrisisat201420

Table2:GDP@RiskimpactoftheHighInflationWorldscenariocomparedwithpreviousCentreforRiskStudiesstresstestscenarios

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CambridgeCentreforRiskStudies

2FinancialCatastropheStressTestScenarios

Thisscenarioisanillustrationoftherisksposedbyaplausiblebutextremefinancialmarketbasedcatastrophe.Itrepresentsjustoneexampleofsuchacatastropheandisnotaprediction.Itisa“what-if”exercise,designedtoprovideastresstestforriskmanagementpurposesbyinstitutionsandinvestorswishingtoassesshowtheirsystemswouldfareunderextremecircumstances.

ThisscenarioisoneofaseriesofstresstestscenariosdevelopedbytheCentreforRiskStudiestoexplorethemanagementprocessesfordealingwithanextremeshockevent.Itisoneoffourfinancialmarketcatastrophescenariosbeingmodelledunderthisworkpackageandincludesthefollowing:

.GlobalPropertyCrash:AssetBubbleCollapse;

.DollarDeposed:De-AmericanisationoftheGlobalFinancialSystem;

.EurozoneMeltdown:SovereignDefaultCrisis.

Thescenariospresentaframeworkforunderstandinghowglobaleconomicandfinancialcollapsewillimpactregions,sectorsandbusinessesthroughoutthenetworkedstructureoftheeconomy.Thesefinancialstresstestsaimtoimproveorganisations’operationalriskmanagementplanstoformcontingenciesandstrategiesforsurvivingandminimisingtheimpactsfrommarket-basedfinancialcatastrophe.

Inparticular,thestresstestsallowinstitutionstomanageandbuildresiliencetodifferentformsofriskduringperiodsoffinancialstress.

Theserisksinclude:

.financialandinvestmentriskstemmingfromacollapseinassetpricesacrossdifferentsectorsandregions;

.supplychainriskandtheabilityofaninstitutiontoeffectivelymanageitsinputrequirementsthroughitssupplychain,tomeetinternalproductionandoperationalrequirements;

.customerdemandriskandknowledgeforhowdemandmightshiftforgoodsandservicesduringperiodsoflowinvestmentandconsumerspending;

.marketorsegmentationriskandanunderstandingofhowotherfirmswithinthesamesectorwillreactandperformduringperiodsoffinancialstressandhowthismayimpactonthebusiness;

.reputationalriskandtheprotectionofbrandimageforreactingappropriatelyandconfidentlyundercrisisconditions.

Eachindividualscenariomayrevealsomeaspectsofpotentialvulnerabilityforanorganisation,buttheyareintendedtobeexploredasasuiteinordertoidentifywaysofimprovingoverallresiliencetounexpectedshocksthatarecomplexandhavemulti-facetedimpacts.

Marketcatastropheriskandfinancialcontagion

TheGreatFinancialCrisisof2007-8notonlyrevealedtheextenttowhichtheglobalfinancialsystemisinterconnectedbuthowinterrelationshipsbetweencommercialbanks,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.

Understandingfinancialcatastrophethreats

Thisscenarioexplorestheconsequencesofafinancialmarketcatastrophebyexaminingthenotional1-in-100possibilityforaHighInflationWorldScenarioandexamininghowtheshockwouldworkthroughthesystem.

Foraprocessthattrulyassessesresiliencetomarketcatastrophe,weneedtoconsiderhowdifferentmarket-basedcatastrophesoccurandthenpropagatetheseshocksthroughglobalfinancialandeconomicsystems.Thisexercisewouldideallyincludeathoroughanalysisforeachdifferenttypeofmarketcatastropheinadditiontothefourfinancialcatastrophesincludedinthissuiteofstresstests.

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HighInflationWorldStressTestScenario

Suchananalysiswouldalsoincludearangeofdifferentseveritiesandcharacteristicsforthesescenarioswouldoccurasaresultofthesedifferentfinancialandeconomiccrises.

TheCambridgeRiskFrameworkattemptstocategorizeallpotentialcausesoffutureshocksintoa“UniversalThreatTaxonomy.”Wehavereviewedmorethanathousandyearsofhistoryinordertoidentifythedifferentcausesofdisruptiveevents,collatingotherdisastercataloguesandcategorizationstructures,andresearchingscientificconjectureandcounterfactualhypotheses,combinedwithafinalreviewprocess.TheresultingCambridgetaxonomycataloguesthosemacro-catastrophethreatswiththepotentialtocausedamageanddisruptiontoamodernglobalisedworld.ThereportCambridgeSystemShockRiskFramework:Ataxonomyofthreatsformacro-catastropheriskmanagement(CCRS,2014)providesafulldescriptionofthemethodologyandtaxonomycontent.

Withinthisuniversalthreatframeworkwehavedevelopedaspecifiedtaxonomyforfinancialcatastrophes.ThiscanbeseeninFigure1andincludesalistofsevenuniquefinancial,marketandeconomiccatastrophes.Alargeeconomicorfinancialcatastropheseldomaffectsjustonepartofthesystem.

Thehistoricalrecordshowsthatmultiplemarketcatastrophestendtooccuratthesametimeandimpactscascadefromonecrisistothenext.TherecentGreatFinancialCrisis(GFC)isoneexampleofthis.ThefinancialcrisisstartedintheUSasasub-primeassetbubblebutquicklyspreadtothebankingsectorwheremanymajorbankswereleftholdingassetsworthmuchlessthanhadoriginallybeenestimated.Thecomplicatednatureofthevariousfinancialderivativesthatwerebeingsoldmadeitdifficultfortraderstounderstandthetrueunderlyingvalueoftheassetthatwasbeingpurchased.Thisresultwasasystemicbankingcollapsethathadworldwideimplicationsthatstillremainstobesolvedacrosstheglobe.

Throughouthistorytherehavebeenmanyotherexampleswheremultipleformsoffinancialcatastrophehavecascadedfromoneformofcrisistothenext,examplesincludethe1720SouthSeaBubble;1825LatinAmericanBankingCrisis;1873LongDepression;1893BearingBankCrisis;1929WallStreetCrashandDepression;1997AsianCrisisandthe2008GlobalFinancialCrisis.

Scenariodesign

Eachscenarioisselectedasaplausible,butnotprobable,extremeeventthatisdrivenbyanumberoffactorsandwouldcausesignificantdisruptiontonormallifestylesandbusinessactivities.

Theyareillustrativeofthetypeofdisruptionthatwouldoccurwithinaparticularcategoryof“threat”or“peril”–thatis,acauseofdisruption.

Inthisscenario,weexploretheconsequencesofa“HighInflationWorld”resultingfromafoodandenergypricespiral.Itisalsopossiblethatthatthisglobalphenomenoncouldhavebeentriggeredbyothercommoditypricespirals,notlimitedtojustfoodandenergy.

TheanalysisestimateslossestotherealeconomyusingtheOEMtocalculatelossesinexpectedGDPoutput.Wehavealsoestimatedhowtheeventwouldimpactinvestmentassetvalues,usingstandardizedinvestmentportfoliostoshowtheeffectonindicativeaggregatereturns.

Investmentmanagerscouldapplytheseassetvaluechangestotheirownportfoliostructurestoseehowthescenariowouldpotentiallyaffecttheirholdings.Theimpactsofthedifferentvariantsofthisscenarioareappliedtofourfinancialportfolios:highfixedincome,conservative,balancedandaggressive.

Developingacoherentscenario

Figure1:Financialcatastrophe“FinCat”taxonomy

Itisachallengetodevelopascenariothatisusefulforawiderangeofriskmanagementapplications.Fullyunderstandingtheconsequencesofascenarioofthistypeisproblematicbecauseofthecomplexityoftheinteractionsandsystemsthatitwillaffect.

Theeconomic,financial,andbusinesssystemsthatwearetryingtounderstandinthisprocessarelikelytobehaveinnon-intuitiveways,andexhibitsurprisingcharacteristics.

Duringthisprocesswetrytoobtaininsightsintotheinterlinkagesthroughusinganextremescenario.

Todevelopacoherentstresstestwehavedevisedamethodologyforunderstandingtheconsequencesofascenario,assummarisedinFigure2.

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LossEstimation

Impactonworkforce;insurancelosslines;utilities;supplychains;finance;sentiment

MarketImpactAssessment

Valuationofkeyassetclasses,suchasequities,fixedincome,FX

CambridgeCentreforRiskStudies

Thisinvolvessequentialprocessingofthescenariothroughseveralstagesandsub-modellingexercises,withiterationprocessestoalignandimproveassumptions.

Webelieveitisimportanttocreatearobustandtransparentestimationprocess,andhavetriedtoachievethisthroughadetailedrecordingoftheassumptionsmade,andbymakinguseofsensitivitytestsregardingtherelativeimportanceofoneinputintoanother.

Inthemacroeconomicstagesofthemodelling,weareconsciousthatweareattemptingtopushmacroeconomicmodels,calibratedfromnormaleconomicbehaviour,outsidetheircomfortzone,andtousetheminmodellingextremeevents.Wehaveworkedcloselywitheconomiststounderstandtheusefullimitsofthesemodelsandtoidentifytheboundariesofthemodelsfunctionality.

ScenarioDefinition

Processdefinition,timeline,footprint,

sectoralimpacts,contagionmechanisms

MacroeconomicModelling

Sectoral®ionalproductivitylossonkeymetricssuchasGDP,Employment

Figure2:Structuralmodellingmethodologytodevelopacoherentstresstestscenario

Uncertaintyandprecision

Overallthescenarioconsequenceestimationprocessretainselementsofuncertainty.Theprocessentailsmakinganumberofassumptionstoassesslossesanddirectimpacts.Thesearethenusedasinputswithinamacroeconomicmodel,withadditionalassumptionsandtheintroductionofuncertaintyandvariation.

Theoutputsthenfeedtheassessmentofportfolioperformance,withfurtherassumptionsgeneratingadditionaluncertainty.Linkingallthecomponentsintoacoherentscenarioisproblematictoachieveandtheprocessdescribedinthisreportisoneparticularapproachthathasattemptedtodothis.

Itissuboptimalinthattheprocessisimpreciseandoneofcompoundeduncertaintyateachsuccessivestageandthemethodologyofvariousaspectsofanyparticularscenarioneedstobeunderstoodinthiscontext.

Thepoint,however,ofproducingthescenarioistounderstandtheconsequencesintermsoftheirholisticeffects,theirrelativeseveritiesandthepatternsofoutcomethatoccur.Infact,thescenarioisdeterministicandisnotdesignedtoprovideexceedanceprobabilitydatapoints.Anapproximationselectionprocesshasbeenadoptedonthebasisofexpertelicitation,tobeintherangeofthe1-in-100annualprobabilityofoccurrenceworldwide,butnotrigorouslydetermined.Thescenarioproductionprocess,limitedasitis,doesprovideinterestinginsights,andmanyoftheapplicationsofthescenarioareachievedthroughthisimperfectapproach.Thescenarioisofferedasastresstest,tochallengeassumptionsofcontinuingstatusquoandtoenablepractitionerstobenchmarktheirriskmanagementprocedures.

Useofthescenariobyinvestmentmanagers

Thescenarioprovidesatimelineandanestimationofthechangeoffundamentalvalueinassetsinaninvestmentportfolio.Thesearesegmentedintobroadassetclassesandgeographicalmarketstoprovideindicativedirectionalmovements.

Theseprovideinsightsforinvestmentmanagersintolikelymarketmovementsthatwouldoccurifaneventofthistypestartedtomanifest.Inrealevents,marketmovementscansometimesappearrandom.

Thisanalysis