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1、CentreforRiskStudiesUniversityofCAMBRIDGEIudgcBusinessSchlCambridgeCentreforRiskStudiesUniversityofCambridgeJudgeBusinessSchoolTrumpingtonStreetCambridge,CB21AGUnitedKingdomries.riskjbs.cam.ac.ukhttpWWWJiSk.jbs.cam.ac.ukDecember2015TheCambridgeCentreforRiskStudiesacknowledgesthegeneroussupportprovid
2、edforthisresearchbythefollowingorganisations:a FNATheviewscontainedinthisreportareentirelythoseoftheresearchteamoftheCambridgeCentreforRiskStudies,anddonotimplyanyendorsementoftheseviewsbytheorganisationssupportingtheresearch.Thisreportdescribesahypotheticalscenariodevelopedasastresstestforriskmanag
3、ementpurposes.Itdoesnotconstituteaprediction.TheCambridgeCentreforRiskStudiesdevelopshypotheticalscenariosforuseinimprovingbusinessresiliencetoshocks.Thesearecontingencyscenariosusedfor,what-if,studiesanddonotconstituteforecastsofwhatislikelytohappen.SovereignDefaultCrisisStressTestScenarioEurozoneM
4、eltdownContents1 ExecutiveSummary22 FinancialCatastropheStressTestScenarios63 SovereignDefaultasaFinancialCatastrophe104 DefiningtheScenario125 TheScenario146 MacroeconomicAnalysis157 ImpactonInvestmentPortfolio238 MitigationandConclusions309 Bibliography31SovereignDefaultCrisisStressTestScenarioEur
5、ozoneMeltdown1EXeeUtiVeSUmmarySovereigndefaultisafailureorrefusalbyacountry,sgovernmenttomakearepaymentofnationaldebts.Consequencesincludedevaluationoftheprincipal,aswellaslossofyieldfromthebond.Thisreportexplorestheimpactofunexpecteddevaluationoffixedincomeassetsresultingfromacascadeofsovereigndebt
6、devaluationscausedbythesequentialexitofcountriesfromacurrencyunion.Suchdevaluationscanhaveasimilarfinancialeffectasdefaultswhich,ifoccurringinwhatareconventionallyregardedashighquality,lowriskinvestments,fromoneofourfourFinancialCatastrophescenarios.Scenariosmoregenerallycanbeusedtocoverthespectrumo
7、fextremeshocks,suchasthoseproposedintheCambridgeTaxonomyofThreats,whichencompassesfiveclassesofbusinessrisk.Asuiteofscenariosisabasisforaglobalenterprisetostresstestitselfandimproveitsresilience.EurozoneMeltdoiunInthisscenariopoliticalpressuresforceablocofEuropeancountriesintoacascadeofexitsfromthec
8、urrencyunion.Thespeedandrapidincidenceofmultiplecountriesexitingisthemostsignificantdimensionofthescenario.TheexitfromtheEurospreadsbycontagionofsimilarpoliticalandeconomicissuesacrossanumberofcountriesandaffectsothereconomiesthataretypicallythoughtofasbeingcorecountriesoftheEurozone.Theseproblemati
9、cpoliticaldriversmightstillendangerthecurrencyunion,althoughthepurefinancialmarketrisksnowseemtobeundercontrolasapowerfulrescuearchitecturehasbeensetupsince2011.Whilethe“standard”scenariovariantSilimitssuchacontagionontheperipheralcountries,itcomes,inthemoreseverescenariovariants,S2andXi,toaEurozone
10、meltdownwithsevereglobaleffects.Thesescenarioscauseaworldwiderecessionlastingjustoverayear(approximatelyfivetosixfiscalquarters).Theoverallexpectedoutputloss,expressedaslostglobalGrossDomesticProductduringthescenariocomparedwiththeprojectedrateofgrowthwithoutthecatastropheoccurring(GDPRisk)，isbetwee
11、n$11.2,$16.3and$23.2trillion,dependingonthevariantnarrative.TheGreatRecessionof2007-2011,comparatively,sawalossof$20trillionin2015dollarestimates.AHistoryofCountryDefaultsScenarioselectionOverthepasttwohundredyearstherehavebeenover180recordedsovereigndefaults,with120ofthemoccurringinthepastcentury.C
12、ausesofdefaultsincludemajorincreasesinpublicdebtinforeigncurrencies,reductionintaxreceipts,corruption,declineinemploymentlevels,governmentregulationorperceivedthreatsofregulationoffinancialmarkets,andpopularunrestatausteritymeasuresputinplacetorepaydebtfully.TheEurozoneMeltdownScenariodescribesscena
13、rioscomparabletoadefaultdrivenbythefirstofthesecauses,i.e.,highdebtinacurrencythatcreatespoliticalcoststhatcannotbemanagedbytheaffectedsovereign.Apremiseisthatincreasingconnectednessofglobalfinancialmarketswidenschannelsforthecontagion.VariantsofthescenarioInour“standardscenariovariantSi,someofthewe
14、akerEuropeaneconomies-Italyandtheotherso-calledPIGS(Portugal,Ireland,GreeceandSpain)-arecaughtupinawaveofnegotiatedcurrencyexits.InvariantS2,WeexplorehowthismightcascadefurthertotriggerthecreationofshadowcurrenciesinGermanyandFrance.InthemostextremevariantXithisfurtherleadstothemeltdownoftheEurozone
15、inthesenseofacompletedissolutionoftheEuro.1C.Reinhart,K.Rogoff,FinancialandSovereignDebtCrises:SomeI纪SSonSLearnedandThoseForgottenw,IMFWorkingPaper13/266,December2013Thisisastresstest,notapredictionThisreportisoneofaseriesofstresstestscenariosthathavebeendevelopedbytheCentreforRiskStudiestoexplorema
16、nagementprocessesfordealingWithanextremeshock.Itdoesnotpredictacatastrophe.CascadeofexitsfromtheEurozonePopulistgovernmentinItalyAgainstthebackdropofGermany,scontinuedhardlineonserdcingItaly,sdebtstrokedarebellionamongthePopulistparties.Thethird-partymovementdrawswidespreadsupportfromthedisgruntledI
17、taliansprotestinganti-austerity,andthesepopulistpartiesmanagetochannelpublicdissatisfaction,togetherwiththeeconomicdifficultiescausedbyaseriesoflong-overduereformsagainsttheEuropeanpoliticalandmonetaryunion.Comingintopower,thesepartiesrejectthestabilitymeasuresthatconstitutethemonetaryandfiscalframe
18、workofthecurrencyunionandhencetriggeringanexitfromtheEurozone.SpillovereffectsfromthepoliticalandeconomicagendafromItalyforceotherperipheralcountriestofollowsuit.PoliticalreactionsinthecorecountriesThecostlyexitsoftheperipheralcountrieshavefinallyputpopulist,anti-EuropartiesintopowereveninGermanyand
19、France.Thesepartiessupporttheevolvementofshadowcurrenciesinbothcountries,furtherweakeningtheEuro.AweakEurowithoutpoliticalsupportisaneconomicalriskfortheremainingmembercountries.Hence,itisnegotiatedtocompletelydissolvethiscurrency.GlobalGDPImpactToestimatethemacroeconomicimpactoftheEurozoneMeltdOwnS
20、cenario,weapplyshockstoexchangeratesandshort-termcentralbankinterestratesindefaultingcountrieswithintheOxfordEconomics,GlobalEconomicModel(GEM).Thecurrencydepreciationiscalibratedbetween25and40%,andshort-terminterestratesaredrivenupby0.5to15percentagepoints.ThisyieldsuGDPRiskMwhichestimatesthelossto
21、theglobalgrossdomesticproductover5years,i.e.,thecumulativeeffectofthisscenarioontheglobaleconomy.ThecascadeofEurozonedefaultshasasignificantimpactontheworldeconomy.GDPRiskisbetween$11.2and$23.2trillionacrossthevariants,indicatingamoresevereeffectthantheGreatFinancialCrisisiftheEurozoneinitsentiretyw
22、eretofailanddisband.FinancialmarketimpactWeestimatetheportfolioimpactsofthisscenariobymodellingtheoutputsfromOxfordEconomics,GEMintoportfolioreturns,projectingmarketchangesandcashflowswhilekeeptheallocationpercentagesfixed.Wedefaultallcorporatebondsconservativelygiventhe2008defaultratesandgovernment
23、bondsusingthemostseveregovernmentdefaultsinhistory.Theeconomicshocksareappliedgenerallyover5yearsandweseetheportfolionotrecoveroverthebaselineperformance.ThemaximumdovnturnexperiencedfortheConservativeportfoliointheSivariantis-9.86%nominaloccursinYr1Q2.TheworstperformingequityistheGermanequityindex(
24、DAX)andthebestperformingstocksisJapan(N225).TheworstperformingfixedincomebondsaretheGermanwhiletheUSbondsperformthebest.TheworstperformingportfoliostructureistheaggressiveWitha-13.41%lossfortheSivariant.ForportfolioprotectionitisrecommendedthatequityallocationisshiftedawayfromEuropetowardsJapanandaw
25、ayfromEurofixedincometowardsUSfixedincome.RiskmanagementstrategiesScenariosasstresstestsThisscenarioisanillustrationoftherisksposedbysocialunresttriggeredbycatastrophicevent.TheHighInflationWorldscenarioisjustoneexampleofawiderangeofscenariosthatcouldoccur.Thisscenarioaimstoimproveorganizations,oper
26、ationalriskmanagementplansaroundcontingencies,andstrategiesforsurvivingfinancialandcounterpartychallenges.Itpresentsacapitalstresstestforinsurerstoassesstheirabilitytomanageunderitinglosseswhilealsosufferingmarketimpactsontheirinvestmentportfolios.Thisscenarioisanillustrationoftherisksposedbyaplausi
27、blebutextremefinancialmarketbasedcatastrophe.Itrepresentsjustoneexampleofsuchacatastropheandisnotaprediction.Itisa“what-if,exercise,designedtoprovideastresstestforriskmanagementpurposesbyinstitutionsandinvestorsWiShingtoassesshowtheirsystemswouldfareunderextremecircumstances.SummaryofEffectsofEurozo
28、neMeltdownScenarioandVariantsScenarioVariantS1S2X1VariantDescriptionStandardScenarioScenarioVariantExtremeVariantDefaultingCountriesGreece,Italy,Spain,PortugalandIrelandS1plusFranceandGermanyS2plustheEurozoneWorldfoodpriceshock180%250%310%CurrencyExchangeRatesShock25-40%25-40%25-40%GrossGovernmentDe
29、btShock50%50%50%MaCrOeCOnomiCIOSSeSGlobalrecessionseverity(MinimumqtrlygrowthrateglobalGDP)0%-1.8%-2.6%GlobalrecessiondurationN/A5Qtrs6QtrsGDP(三)Risk$Tr(5yearlossofglobaloutput)$11,2Trillion$16.3Trillion$23.2TrillionGDPRiSk%(as%of5-yearbaselineGDP)2.8%4.1%5.9%POrtfOIiOImPaCtPerformanceatperiodofmaxd
30、ownturnHighFixedIncome-5%-16%-18%Conservative-10%-25%-28%Balanced-12%-29%-31%Aggressive-13%-32%-35%ASSetClaSSPerfOrmanCeYr1Qr4Yr3Qr4Yr1Qr4Yr3Qr4Yr1Qr4Yr3Qr4USEquities(W5000),%Change-4%-2%-10%-15%-15%-39%UKEquities(FTSE100),%Change-21%-2%-36%-15%-43%-39%GermanTreasuries2yrNotes,%Change-18%-36%-61%-76
31、%-64%-82%GermanTreasuries10yrNotes,%Change-13%-18%-68%-65%-70%-69%Table1:SummaryimpactsoftheEurozoneMeltdownscenarioTrillionUS$GDPRiskacrossscenariosS2X1MillennialUprisingSocialUnrestRisk1.64.68.1DollarDeposedDe-AmericanizationoftheFinancialSystemRisk1.91.6-1.6SybilLogicBombCyberCatastropheRisk4.57.
32、415HighInflationWorldFoodandOilPriceSpiralRisk4.9810.9L1SaoPaoloInfluenzaVirusPandemicRisk71023EurozoneMeltdown112IrQ乂,SovereignDefaultRisk1lo0内乙GlobalPropertyCrash109IqrAssetBubbleCollapseRisk11yoChina-JapanConflict17p7n2GeopoliticalWarRiskl,乙,2007-12GreatFinancialCrisis18GreatFinancialCrisisat2014
33、20Table2:GDP(三)RiskimpactoftheEurozoneMeltdownscenariocomparedwithpreviousCentreforRiskStudiesstresstestscenarios2FinancialCatastropheStressTestScenariosThisscenarioisanillustrationoftherisksposedbyaplausiblebutextremefinancialmarketbasedcatastrophe.Itrepresentsjustoneexampleofsuchacatastropheandisn
34、otaprediction.Itisawhat?iexercise,designedtoPrOVideastresstestforriskmanagementpurposesbyinstitutionsandinvestorswishingtoassesshowtheirsystemswouldfareunderextremecircumstances.ThisscenarioisoneofaseriesofstresstestscenariosdevelopedbytheCentreforRiskStudiestoexplorethemanagementprocessesfordealing
35、Withanextremeshockevent.Itisoneoffourfinancialmarketcatastrophescenariosbeingmodelledunderthisworkpackageandincludesthefollowing: GlobalPropertyCrash:AssetBubbleCollapse; DollarDeposed:De-AmericanisationoftheGlobalFinancialSystem; HighInflationWorld:FoodandOilPriceSpiral.Thescenariospresentaframewor
36、kforunderstandinghowglobaleconomicandfinancialcollapsewillimpactregions,sectorsandbusinessesthroughoutthenetworkedstructureoftheeconomy.Thesefinancialstresstestsaimtoimproveorganisations,operationalriskmanagementplanstoformcontingenciesandstrategiesforsurvivingandminimisingtheimpactsfrommarket-based
37、financialcatastrophe.Inparticular,thestresstestsallowinstitutionstomanageandbuildresiliencetodifferentformsofriskduringperiodsoffinancialstress.Theserisksinclude: financialandinvestmentriskstemmingfromacollapseinassetpricesacrossdifferentsectorsandregions; supplychainriskandtheabilityofaninstitution
38、toeffectivelymanageitsinputrequirementsthroughitssupplychain,tomeetinternalproductionandoperationalrequirements; customerdemandriskandknowledgeforhowdemandmightshiftforgoodsandservicesduringperiodsoflowinvestmentandconsumerspending; marketorsegmentationriskandanunderstandingofhowotherfirmswithinthes
39、amesectorwillreactandperformduringperiodsoffinancialstressandhowthismayimpactonthebusiness; reputationalriskandtheprotectionofbrandimageforreactingappropriatelyandconfidentlyundercrisisconditions.Eachindividualscenariomayrevealsomeaspectsofpotentialvulnerabilityforanorganisation,buttheyareintendedto
40、beexploredasasuiteinordertoidentifywaysofimprovingoverallresiliencetounexpectedshocksthatarecomplexandhavemultifacetedimpacts.MarketcatastropheriskandfinancialcontagionTheGreatFinancialCrisisof2007-8notonlyrevealedtheextenttowhichtheglobalfinancialsystemisinterconnectedbuthowinterrelationshipsbetwee
41、ncommercialbanks,investmentbanks,centralbanks,corporations,governments,andhouseholdscanultimatelyleadtosystemicinstability.Asglobalfinancialsystemsbecomeincreasinglyinterconnected,ashocktoonepartofthesystemhasthepotentialtosendacascadeofdefaultsthroughouttheentirenetwork.In2008,itwasonlythroughgover
42、nmentinterventionintheformofextensivebailoutpackagesthatawidespreadcollapseoftheglobalfinancialsystemwasavoided.Newmodelsoftheglobalfinancialsystemareanessentialtoolforidentifyingandassessingpotentialrisksandvulnerabilitiesthatmayleadtoasystemicfinancialcrisis.Theliteratureidentifiesthreetypesofsyst
43、emicrisk:(i)build-upofwide-spreadimbalances,(ii)exogenousaggregateshocksand(iii)contagion(Sarlin,2013).Similarlyweworkwiththreeanalyticalmethodsthathelpdealwithdecisionsupport:(i)early-warningsystems,(ii)macrostress-testing,and(iii)contagionmodels.AllthreemethodsareactivelyunderresearchintheCentrefo
44、rRiskStudiesandutilisedinthedevelopmentofthesestresstestscenarios.UnderstandingfinancialcatastrophethreatsThisscenarioexplorestheconsequencesofafinancialmarketcatastrophebyexaminingthenotional-in-100possibilityfraHighInflationWorldScenarioandexamininghowtheshockwouldworkthroughthesystem.Foraprocesst
45、hattrulyassessesresiliencetomarketcatastrophe,weneedtoconsiderhowdifferentmarket-basedcatastrophesoccurandthenpropagatetheseshocksthroughglobalfinancialandeconomicsystems.Thisexercisewouldideallyincludeathoroughanalysisforeachdifferenttypeofmarketcatastropheinadditiontothefourfinancialcatastrophesin
46、cludedinthissuiteofstresstests.Suchananalysiswouldalsoincludearangeofdifferentseveritiesandcharacteristicsforthesescenarioswouldoccurasaresultofthesedifferentfinancialandeconomiccrises.TheCambridgeRiskFrameworkattemptstocategorizeallpotentialcausesoffutureshocksintoaUniversalThreatTaxonomy.Wehaverev
47、iewedmorethanathousandyearsofhistoryinordertoidentifythedifferentcausesofdisruptiveevents,collatingotherdisastercataloguesandcategorizationstructures,andresearchingscientificconjectureandCounterfactualhypotheses,combinedWithafinalreviewprocess.TheresultingCambridgetaxonomycataloguesthosemacro-catastrophethreatswiththepotentialtocausedamageanddisruptiontoamodernglobalisedworld.ThereportCambridgeSystemShockRiskFramework:Ataxonomyofthreatsformacro-catastropheriskmanagement(CCRS,2014)providesafulldescriptionofthemethodologyandtaxonomyc
