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1、CentreforRiskStudiesp三UniversityofPCAMBRIDGEJudgeBusinessSchlCambridgeCentreforRiskStudiesUniversityofCambridgeJudgeBusinessSchoolTrumpingtonStreetCambridge,CB21AGUnitedKingdomries.riskj6s.cam.ac.ukhttp，WWW.risk.jbs.cam.ac.ukDecember2015TheCambridgeCentreforRiskStudiesacknowledgesthegeneroussupportp
2、rovidedforthisresearchbythefollowingorganisations:TheviewscontainedinthisreportareentirelythoseoftheresearchteamoftheCambridgeCentreforRiskStudies,anddonotimplyanyendorsementoftheseviewsbytheorganisationssupportingtheresearch.Thisreportdescribesahypotheticalscenariodevelopedasastresstestforriskmanag
3、ementpurposes.Itdoesnotconstituteaprediction.TheCambridgeCentreforRiskStudiesdevelopshypotheticalscenariosforuseinimprovingbusinessresiliencetoshocks.Thesearecontingencyscenariosusedfor*what-ifstudiesanddonotconstituteforecastsofwhatislikelytohappen.FoodandOilPriceSpiralStressTestScenarioHighInflati
4、onWorldContents1ExecutiveSummary42 DefiningtheScenario83 HighInflationasaFinancialCatastrophe124 DefiningtheScenario155 TheScenario176 MacroeconomicAnalysis197 ImpactonInvestmentPortfolio258 MitigationandConclusions329 Bibliography33FoodandOilPriceSpiralStressTestScenarioHighInflationWorld1Executive
5、SummaryInthefollowingreport,wepresentanarrativeofhowglobalinflationarypressureoverseveralyearsimpactstheworldeconomyandfinancialmarkets.Thisprovidesabasisforaglobalenterprisetotestitsoperationalandstrategicmodel,asasteptowardimprovingitsresilience.Scenariosmoregenerallycanbeusedtocoverthespectrumofe
6、xtremeshocks,suchasthoseproposedintheCambridgeTaxonomyofThreats,whichencompassesfiveclassesofbusinessrisk.1HighInflationWorldScenarioThisscenarioemdsionscostshocksinresponsetoshrinkingglobaloilsuppliesand,simultaneously,disruptionstocropproductionthatleadtoglobalfoodshortages.Theseinflationarydriver
7、spersistovermanymonths,causinginternationaleconomicandhumanitarianpressures.Theeconomicimpact,expressedaslostglobalGrossDomesticProductoverfiveyears,comparedwiththeprojectrateofgrowth(GDPRiSk)，isbetween$4.9,$8and$10.9trillion,dependingontheseverityofthecommoditypriceshock.TheGreatRecessionof2007-201
8、1,comparatively,sawalossof$20trillionin2015dollarestimates.Inthisperspective,althoughtheHighInflationWorldScenarioinflictssevereeconomicloss,thecatastrophedoesnotpreventtherecoveryoftheglobaleconomyovertime.HighInflationasaFinancialCrisisScenarioselectionInflationistiedtotherelationshipbetweenaggreg
9、atesupplyanddemand.Cost-pushdescribesasupplyshortage,e.g.,duetoadisruptioninproductionofacommodity.Demand-pulldescribesincreasingdemand,perhapsresultingfromalooseningofcredit.Inbothcases,inflationofcommoditypricesoccurs.TheHighInflationWorldScenarioisacost-pushsituationdrivenbyrelativescarcityofboth
10、oilandagriculturalcommodities.Thefinalimpactofthesepricehikesdependsheavilyonthelevelofexposureacountryhastoeachcommodity.,CambridgeCentreforRiskStudies,uATaxonomyofThreatsforComplexRiskManagement*,2014Nonetheless,thedirectimpactofaglobalhighinflationisthecorrespondingincreaseinUnemPlOymentrates,alb
11、eitvaryingseverity,acrossmajoreconomies.VariantsofthescenarioWecalibratethreevariantsofthescenariousingdifferentlevelsofinflationforfoodandenergyprices.InourstandardscenarioSi,commoditypricesjumpbetween180and210%ofthepre-existingpricelevels,withpricespeakingaround15monthsaftertheinitialshock.Scenari
12、ovariantS2andextremevariantXiaresimilartothestandardscenario,butthecommoditypriceincreasesareraisedupto280and440%,respectively.ThescaleoflossinflictedbytheHighInflationWorldScenariohasbeencalibratedtocorrespondapproximatelytoaneventthathappensaboutonceacenturyonaverage,a1-in-100yearevent.Twoindicato
13、rsthatmaygiveasenseofthelikelihoodofacatastrophescenariooccurringareitsimpactonequityreturnsandgrowthrates,whichareexpectedtobenegativeasaresultofcatastrophe.InthecaseoftheHighInflationWorldScenario,however,ouranalysisdoesnotshowextremebehaviourineitherofthesecategories.US(UK)equitiesoverthelasttwoh
14、undredyears 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
15、curve fitting which is conservative in light of the fat tails associated with equity price distributions.haveexperiencedreturnratesbelow-24%(-13%)aboutonceintwentyyears,withreturnratesbelow-36%(-20%)signifying1-in-100events.Inourscenariovariants,thosereturnratesarebarelyeffectedotherthanintheextreme
16、Xivariantinwhichequityreturnratesare-8%intheUSand-4%intheUK.Nearzeroeconomicgrowthratesarefoundinourscenariosbutthesedon,tcomparetothehistoricalrecordforUS(UK)growthratesbeingbelow-7%(-3%),whichare1-in-20yearevents,orratesbelow-13%(-5%)whichhappenseverycentury.Thisisastresstest,notapredictionThisrep
17、ortisoneofaseriesofstresstestscenariosthathavebeendevelopedbytheCentreforRiskStudiestoexploremanagementprocessesfordealingwithanextremeshock.Itdoesnotpredictacatastrophe.SeedsofshortageFarmingfailureTheScenarioassumesthatthemiddleoftheyearbringsWithitboutsofextremeweatheracrossthenorthernhemisphere:
18、alongheatwaveinthePacificWest,floodsintheSub-Indiancontinent,heavyrainsintheAtlanticanddroughtinnorthernChina.Grainyieldsaresuretosuffer.Concurrently,apandemicsweepsthroughtheworld,spopulationofbees.Inadequatepollinationpreventstheworldwidedevelopmentofnuts,fruitandotheragriculturalproducts.Holdingt
19、heStraitofHormuzHostageAmilitantgroupestablishesholdontheStraitofHormuzinthePersianGulf,effectivelyseizingcontrolof20%oftheworld,scrudeexports.ThegrouprestrictstheinternationalshipmentofcrudeoilthroughtheStraits,hikingthepriceofoiltoover$170perbarrel.Theimpactaffectstheinternationalmeatanddairyindus
20、triessignificantly.Thecombinationofhighproductioncostsandefficiencylossesaffectaggregatedemandasacost-pushspiralemergesworldwide.GlobalstagflationAstheinternationalenergycrisiscontinuestheconsumerpriceindexspikesinmanynations,drivingdemandsfornationalwageincreases.Stagflationemergesacrosstheglobeasc
21、ountriesthatimplementwagehikesexperienceanunemploymentspiral.Inanefforttocurtailworldddestagflationattheheightofthecrisis,nationalcentralbanksgraduallyadjustinterestratesinordertosuppressconsumerspendingandrelieveeconomicpressure.Aftereighteenmonths,pricesbegintostabiliseandtherateofinflationdrops.G
22、lobalGDPimpactTounderstandhowtheHighInflationWorldscenarioimpactstheglobaleconomyweusetheGlobalEconomicModel(GEM),OxfordEconomics,quarterly-linkedinternationaleconometricmodel.Priceshocksareapplieddirectlytoworldfoodandenergypricesovera15monthperiod,andthemodeladjustsendogenouslytoallocateinflationr
23、ateincreasesacrosstheworld.WeusetheGEMtoestimatethelossinglobalgrossdomesticproduct,cumulatedovera5yearperiod,whichisattributedtothisstresstestscenario.WetermthislossGDPRiSk.GPDRisk,expressedinrealtermsinUSdollars,rangesfromalossof$1)84.9trillionforSito$USio,9trillionintheXivariant.However,thisscena
24、riodoesnotnecessarilyleadtoaglobalrecession,butinsteadslowsdowntheeconomicgrowthconsiderably.TheseimpactsaresignificantbutnotofthesamescaleastheGreatFinancialCrisis,from2008-2012,whoseGDPRiSkisaround$20trillionin2015dollars.FinancialmarketimpactWeestimatetheportfolioimpactsofthisscenariobymodellingt
25、heoutputsfromOEMintoportfolioreturns,projectingmarketchangesandcashflowswhilekeeptheallocationpercentagesfixed.Wealsodefaultallcorporatebondsgiventhe2008defaultrates.Giventhattheconsumerpriceindex(CPI)wasdirectlyshockedinthemacroeconomicmodelling,weseethatthetotalportfolioreturnsinreal%aremoresignif
26、icantlyimpactedthaninnominaldollars.ThemaximumdownturnexperiencedfortheConservativeportfoliointheSivariantis-3.89%innominalor-9.69%inrealtermsandoccursinYr2Q4.Bestandworstperformances(withinequities)aretheUK(FTSE100),andJapan(N225);withinfixedincome,USandJapanesebonds,Withtheworstperformingportfolio
27、structurebeinghighfixedincome,at7.93%fortheSivariant.ForportfolioprotectionitisrecommendedthatequityallocationisshiftedawayfromJapantowardsUKandawayfromJapanfixedincometowardsUSfixedincome.RiskmanagementstrategiesScenariosasstresstestsThisscenarioisanillustrationoftherisksposedbysocialunresttriggere
28、dbycatastrophicevent.TheHighInflationWorldscenarioisjustoneexampleofawiderangeofscenariosthatcouldoccur.Thisscenarioaimstoimproveorganizations)operationalriskmanagementplansaroundcontingencies,andstrategiesforsurvivingfinancialandcounterpartychallenges.Itpresentsacapitalstresstestforinsurerstoassess
29、theirabilitytomanageunderwritinglosseswhilealsosufferingmarketimpactsontheirinvestmentportfolios.SummaryofEffectsofHighInflationWorldScenarioandVariantsScenarioVariantS1S2X1VariantDescriptionStandardScenarioScenarioVariantExtremeVariantWorldenergypriceshock210%280%440%Worldfoodpriceshock180%250%310%
30、Pricespiralduration5Qtrs5Qtrs5QtrsMaCrOeCOnOmiCIOSSeSGlobalrecessionseverity(MinimumqtrlygrowthrateglobalGDP)1.9%1.4%0.6%GlobalrecessiondurationNorecessionGDPRiSk$Tr(5yearlossofglobaloutput)$4.9Trillion$8.0Trillion$10.9TrillionGDP(三)Risk%(as%of5-yearbaselineGDP)1.7%2.2%2.6%PortfoliOImPaCtPerformance
31、atperiodofmaxdownturnHighFixedIncome-8%-10%-16%Conservative-4%-7%-14%Balanced-3%-6%-13%Aggressive-1%-4%-12%ASSetClaSSPerfOrmanCeYr1Qr4Yr3Qr4Yr1Qr4Yr3Qr4Yr1Qr4Yr3Qr4USEquities(W5000),%Change-20%4%-39%-36%-1%-1%UKEquities(FTSE100),%Change-72%-43%-73%-49%-3%18%USTreasuries2yrNotes,%Change0%3%0%5%-7%-16
32、%USTreasuries10yrNotes,%Change2%15%2%17%-13%-22%Table1:SummaryimpactsoftheHighInflationWorldscenarioTrillionUS$GDPRiskacrossscenarios|S1S2xI藤MillennialUprisingSocialUnrestRisk1.64.68.1谡DollarDeposedDe-AmericanizationoftheFinancialSystemRisk1.91.6-1.6SybilLogicBombCyberCatastropheRisk4.57.415HighInfl
33、ationWorldFoodandOilPriceSpiralRisk4.9810.9SaoPaoloInfluenzaVirusPandemicRisk71023EurozoneMeltdownSovereignDefaultRisk11.216.323.2GlobalPropertyCrashAssetBubbleCollapseRisk13.219.6China-JapanConflictGeopoliticalWarRisk1727322007-12GreatFinancialCrisis18GreatFinancialCrisisat201420Table2:GDP(g)Riskim
34、pactoftheHighInflationWorldscenariocomparedwithpreviousCentreforRiskStudiesstresstestscenarios2FinancialCatastropheStressTestScenariosThisscenarioisanillustrationoftherisksposedbyaplausiblebutextremefinancialmarketbasedcatastrophe.Itrepresentsjustoneexampleofsuchacatastropheandisnotaprediction.Itisa
35、what?if,exercise,designedtoprovideastresstestforriskmanagementpurposesbyinstitutionsandinvestorswishingtoassesshowtheirsystemswouldfareunderextremecircumstances.ThisscenarioisoneofaseriesofstresstestscenariosdevelopedbytheCentreforRiskStudiestoexplorethemanagementprocessesfordealingwithanextremeshoc
36、kevent.Itisoneoffourfinancialmarketcatastrophescenariosbeingmodelledunderthisworkpackageandincludesthefollowing: GlobalPropertyCrash:AssetBubbleCollapse; DollarDeposed:De-AmericanisationoftheGlobalFinancialSystem; EurozoneMeltdown:SovereignDefaultCrisis.Thescenariospresentaframeworkforunderstandingh
37、owglobaleconomicandfinancialcollapsewillimpactregions,sectorsandbusinessesthroughoutthenebvorkedstructureoftheeconomy.Thesefinancialstresstestsaimtoimproveorganisations,operationalriskmanagementplanstoformcontingenciesandstrategiesforsurvivingandminimisingtheimpactsfrommarket-basedfinancialcatastrop
38、he.Inparticular,thestresstestsallowinstitutionstomanageandbuildresiliencetodifferentformsofriskduringperiodsoffinancialstress.Theserisksinclude: financialandinvestmentriskstemmingfromacollapseinassetpricesacrossdifferentsectorsandregions; supplychainriskandtheabilityofaninstitutiontoeffectivelymanag
39、eitsinputrequirementsthroughitssupplychain,tomeetinternalproductionandoperationalrequirements; customerdemandriskandknowledgeforhowdemandmightshiftforgoodsandsendeesduringperiodsoflowinvestmentandconsumerspending; marketorsegmentationriskandanunderstandingofhowotherfirmswithinthesamesectorwillreacta
40、ndperformduringperiodsoffinancialstressandhowthismayimpactonthebusiness; reputationalriskandtheprotectionofbrandimageforreactingappropriatelyandconfidentlyundercrisisconditions.Eachindividualscenariomayrevealsomeaspectsofpotentialvulnerabilityforanorganisation,buttheyareintendedtobeexploredasasuitei
41、nordertoidentifywaysofimprovingoverallresiliencetounexpectedshocksthatarecomplexandhavemultifacetedimpacts.MarketcatastropheriskandfinancialcontagionTheGreatFinancialCrisisof2007-8notonlyrevealedtheextenttowhichtheglobalfinancialsystemisinterconnectedbuthowinterrelationshipsbetweencommercialbanks,in
42、vestmentbanks,centralbanks,corporations,governments,andhouseholdscanultimatelyleadtosystemicinstability.Asglobalfinancialsystemsbecomeincreasinglyinterconnected,ashocktoonepartofthesystemhasthepotentialtosendacascadeofdefaultsthroughouttheentirenetwork.In2008,itwasonlythroughgovernmentinterventionin
43、theformofextensivebailoutpackagesthatawidespreadcollapseoftheglobalfinancialsystemwasavoided.Newmodelsoftheglobalfinancialsystemareanessentialtoolforidentifyingandassessingpotentialrisksandvulnerabilitiesthatmayleadtoasystemicfinancialcrisis.Theliteratureidentifiesthreetypesofsystemicrisk:(i)build-u
44、pofwide-spreadimbalances,(ii)exogenousaggregateshocksand(iii)contagion(Sarlin,2013).Similarlyweworkwiththreeanalyticalmethodsthathelpdealwithdecisionsupport:(i)early-warningsystems,(ii)macrostress-testing,and(iii)contagionmodels.AllthreemethodsareactivelyunderresearchintheCentreforRiskStudiesandutil
45、isedinthedevelopmentofthesestresstestscenarios.UnderstandingfinancialcatastrophethreatsThisscenarioexplorestheconsequencesofafinancialmarketcatastrophebyexaminingthenotional1-in-100possibilityforaHighInflationWorldScenarioandexamininghowtheshockwouldworkthroughthesystem.Foraprocessthattrulyassessesr
46、esiliencetomarketcatastrophe,vveneedtoconsiderhowdifferentmarket-basedcatastrophesoccurandthenpropagatetheseshocksthroughglobalfinancialandeconomicsystems.Thisexercisewouldideallyincludeathoroughanalysisforeachdifferenttypeofmarketcatastropheinadditiontothefourfinancialcatastrophesincludedinthissuit
47、eofstresstests.Suchananalysiswouldalsoincludearangeofdifferentseveritiesandcharacteristicsforthesescenarioswouldoccurasaresultofthesedifferentfinancialandeconomiccrises.TheCambridgeRiskFrameworkattemptstocategorizeallpotentialcausesoffutureshocksintoaUniversalThreatTaxonomy.wWehavereviewedmorethanathousandyearsofhistoryinordertoidentifythedifferentcausesofdisruptiveevents,collatingotherdisastercataloguesandcategorizationstructures,andresearchingscientificconjectureandCounterfactualhypotheses,combinedwithafinalreviewprocess.Theresul
