Climate scenario analysis of portfolios
NGFS pathways are translated into sector and company shocks to earnings, asset values and credit spreads, then applied to holdings, with each translation step and its assumptions recorded.
GRA · Asset Management Nexus
空间金融资本与危害、风险暴露和转型的交汇之处
面向投资组合的情景分析
Scenario design and stress testing explore how portfolios and funds would fare under severe but plausible conditions: disorderly transitions, physical climate shocks, market-wide redemptions or sudden rate rises. They complement statistical risk measures where history offers little guide, and their value lies in transparent assumptions rather than in any single result.
02申请
What scenario design and stress testing does here.
Scenario design and stress testing construct plausible, severe future conditions to examine how 系统 and institutions would perform. They complement probabilistic analysis where data are scarce or futures are deeply uncertain. In capital markets and investment, climate and hazards and biodiversity and nature, stress tests reveal vulnerabilities that arise when several risks materialise together. They inform capital, contingency and coordination plans across sectors. The canonical description is on STEM Commons.
System-wide redemption and margin scenarios
Fund outflows, collateral calls and dealer capacity are combined in one scenario so that second-round sales across funds with common holdings can be traced.
Reverse stress testing
The analysis starts from an outcome a board cannot accept, such as suspended dealing or a funding shortfall, and works back to the combinations of conditions that would cause it.
03监测
Scenario stress.
团队遵循该方法时会使用的界面：其指标、状态与决策。名称为示例，数值仅作示意。
Scenario stress
Asset management · Scenario analysis for portfolios · Run R-5442
Severe case breaches limitGRA · Asset Management Nexus
情景集
| 基线 | Central | 26 | 范围之内 |
| Adverse | 1-in-25 | 60 | 关闭 |
| 严重 | 1-in-100 | 87 | 超限 |
| Reverse stress | Find the break | 100 | Defines edge |
方法卡
- 方法
- 情景设计与压力测试
- 叙事
- compound shock
- 地平线
- 2 年
- 标签
- 模型估算
Impact build-up, severe case
04数据
该方法使用的输入。
Datasets and records used by scenario design and stress testing on this platform, with the role each plays and the label its values carry. Sources are listed in 来源登记册.
| 数据 | 角色 | 标签 |
|---|---|---|
| NGFS 气候情景 | Macro and sector pathways | 模型估算 |
| Supervisory stress scenario frameworks | Severity and design reference | 已发布统计 |
| Historical stress episodes | Analogues and calibration | 观测 |
| Portfolio and liability data | Exposure to the shocks | 已报告 |
05情景模型
投资组合面临的转型风险和实体风险。
依据 NGFS 框架的三个情景系列，通过碳成本和升温损害推动行业投资组合变化；传导视图则追踪损失如何传至贷款机构、投资者、公共财政和家庭。情景：关于未来的明确假设，并非预测。
控制措施
- 期末碳价，有序路径
- 每吨 CO2 200
- 无序转型前的延迟
- 占期限的 50%
- 转嫁给客户的成本
- 50%
- 当前较工业化前的升温幅度
- 1.30°C
- 现行政策下每十年升温幅度
- 0.25°C
- 损害系数
- 每 °C² 0.24%
- 未来年数
- 25 年
读数
- 时间跨度末的最差情景
- 占价值的 −33.6%
数字、方法与来源
| 年份 | 有序转型（价值百分比） | 延迟、无序转型（价值 %） | 现行政策（价值百分比） |
|---|---|---|---|
| 0 | −0.38 | −0.38 | −0.38 |
| 3 | −2.87 | −0.53 | −0.67 |
| 6 | −5.36 | −0.68 | −0.97 |
| 9 | −7.84 | −0.84 | −1.27 |
| 12 | −10.33 | −0.99 | −1.57 |
| 15 | −12.82 | −7.12 | −1.87 |
| 18 | −15.31 | −15.05 | −2.17 |
| 21 | −17.80 | −23.00 | −2.48 |
| 24 | −20.29 | −30.94 | −2.79 |
方法
- 气候情景系列 NGFS (2023), Climate Scenarios for central banks and supervisors, Phase IV
- 金融体系的气候压力测试 Battiston and others (2017), Nature Climate Change 7
- 损害函数 Nordhaus（2017），Revisiting the social cost of carbon，PNAS 114
- 传导渠道 BCBS (2021), Climate-related risk drivers and their transmission channels
- 不确定性扇形图（参数蒙特卡罗） Spiegelhalter, Pearson and Short (2011), Visualising uncertainty about the future, Science 333
- 单因素敏感性（龙卷风图） Saltelli and others (2008), Global Sensitivity Analysis: The Primer, Wiley
数据
The model runs on the teaching values set by the controls. To calibrate it for a place, read it against these admitted layers and series, which this page’s map can draw:
- 城市范围 Natural Earth
- 海港 Natural Earth
- 过去一年的每日气温（经 Open-Meteo 获取的 ERA5） Open-Meteo.com（CC BY 4.0），Copernicus ERA5（C3S/ECMWF）· 登记册 open-meteo.public-pages
- 地表气温，白天（AIRS） NASA AIRS · 登记册 nasa.gibs.context-live-layers
贯穿六大支柱，由 Nexus Consortium 牵头
06验证
结果如何核查。
Scenarios are reviewed for plausibility, internal consistency and severity relative to history. Exercise outcomes are compared with actual events when they occur.
| 核查 | 如何开展 |
|---|---|
| Plausibility and severity review | Scenarios are compared with historical episodes and with supervisory severity levels |
| Internal consistency | Shocked variables are checked against each other so no scenario combines incompatible paths |
| Assumption register | Every behavioural and pricing assumption is listed with its source and the sensitivity of the result to it |
Scenario choice can reflect prevailing assumptions and miss novel combinations. Results depend on how participants and models represent responses.
07风险暴露、损失与资本
What scenario analysis for portfolios means for exposure, loss and capital.
风险官、监管者或财政部会要求的风险暴露、损失、情景和资本视图，以及它们据以报告的框架。结构遵循监管和精算实务。数值为说明性：绝非价格、评级或建议。
情景路径
How scenario analysis for portfolios could be stressed under the scenario families central banks and supervisors use.
| 情景系列 | 转型风险 | 物理风险 | 压力测试问什么 |
|---|---|---|---|
| 有序 | 早期、渐进的政策 | 较低 | 账面能否承受持续的重新定价？ |
| 无序 | 迟缓而突然的政策 | 中低 | 在突然重新定价和信用迁移下，什么会出现问题？ |
| 温室世界 | 有限政策 | 高且上升 | 实体损失集中在抵押品和保险的哪些环节？ |
NGFS 气候情景 · 央行与监管机构绿色金融网络IFRS S2 气候相关披露 · ISSBTCFD 建议 · 金融稳定理事会 TCFD有效管理气候相关金融风险的原则 · 巴塞尔银行监管委员会
09管理责任
由谁维护该方法。
系统性风险管理 stewards scenario design and stress testing for the Consortium and reviews how it is applied across platforms.
10已关联
本页在整个联合体中通向何处。
11问题
问题与解答。
What are the limits of scenario design and stress testing in this field?
Scenario choice can reflect prevailing assumptions and miss novel combinations. Results depend on how participants and models represent responses.
结果如何核查？
Scenarios are reviewed for plausibility, internal consistency and severity relative to history. Exercise outcomes are compared with actual events when they occur.
本页面上的数值是真实的吗？
The data names, roles and checks are real descriptions of practice. The canvas shows a design of the method’s use, not a run; no result is reported here.
该方法还应用于何处？
维持社会运转的各个 规范方法页面 列出应用该方法的每个平台。
报告贡献
从本页贡献证据。
报告 is the Consortium’s quarterly publication. What you know about this subject can become evidence, a case or a correction in the next edition, credited to you and published under CC BY 4.0 where it is your own work.
全球风险联盟（Global Risks Alliance）Asset Management Nexus金融与保险准备度情景与压力测试
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法律
法律文件。
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