Supervisory pension stress test
A common adverse market scenario is applied to fund balance sheets, assets and liabilities revalued together, and the effect on funding, sponsor support and cash flows is reported on a comparable basis.
GRA · Institutional Funds Nexus
Keuangan spasialTempat modal bertemu bahaya, keterpaparan, dan transisi
Stress testing institutional funds
Scenario design and stress testing ask how a fund would fare if several adverse conditions arrived together: rates and markets, inflation and longevity, liquidity and sponsor weakness. For institutional funds they complement the valuation with a view of resilience, and they underpin supervisory stress tests and own-risk assessments.
01Daftar isi
Stress testing institutional funds in five parts.
02Permohonan
What scenario design and stress testing does here.
Scenario design and stress testing construct plausible, severe future conditions to examine how Sistem and institutions would perform. They complement probabilistic analysis where data are scarce or futures are deeply uncertain. In capital markets and investment and society and human development, 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.
Reverse stress test of funding
The board works backward from an outcome it cannot accept, such as benefit cuts or sponsor failure, to identify the combinations of events that would cause it and how plausible they are.
Long-horizon climate scenario analysis
NGFS transition and physical pathways are translated into asset, liability and sponsor effects over decades, and disclosed with the scenario version and its known omissions.
03Pantau
Scenario stress.
Layar yang akan digunakan sebuah tim untuk mengikuti metode ini: ukuran, status, dan keputusannya. Nama adalah contoh dan nilai bersifat ilustratif.
Scenario stress
Institutional funds · Stress testing institutional funds · Run R-7497
Severe case breaches limitGRA · Institutional Funds Nexus
Perangkat skenario
| Garis dasar | Central | 21 | Dalam batas |
| Adverse | 1-in-25 | 54 | Tutup |
| Parah | 1-in-100 | 81 | Pelanggaran |
| Reverse stress | Find the break | 100 | Defines edge |
Kartu metode
- Metode
- Perancangan skenario dan uji tekanan
- Narasi
- compound shock
- Cakrawala
- 5 tahun
- Label
- DIMODELKAN
Impact build-up, severe case
04Data
Apa yang digunakan metode ini.
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 register sumber.
| Data | Peran | Label |
|---|---|---|
| Supervisory scenario frameworks | Common adverse scenarios and shocks | Statistik yang diterbitkan |
| Skenario iklim NGFS | Long-horizon transition and physical pathways | DIMODELKAN |
| Historical market stress episodes | Analogues for calibration | TERAMATI |
| Fund balance sheet and cash flow data | Exposure to which shocks are applied | DILAPORKAN |
05Model skenario
Risiko transisi dan fisik pada portofolio.
Tiga kelompok skenario mengikuti kerangka NGFS menggerakkan portofolio sektor melalui biaya karbon dan kerusakan akibat pemanasan; tampilan transmisi menelusuri kerugian hingga ke pemberi pinjaman, investor, keuangan publik, dan rumah tangga. Skenario: asumsi bernama tentang masa depan, bukan proyeksi.
Kendali
- Harga karbon pada cakrawala, jalur teratur
- 200 per tCO2
- Penundaan sebelum transisi yang tidak teratur
- 50% dari cakrawala
- Biaya yang dibebankan kepada pelanggan
- 50%
- Pemanasan saat ini di atas masa praindustri
- 1,30°C
- Pemanasan per dekade, kebijakan saat ini
- 0,25°C
- Koefisien kerusakan
- 0,24% per °C²
- Tahun ke depan
- 25 tahun
Pembacaan
- Skenario terburuk pada cakrawala
- −33,6% dari nilai
Angka, metode, dan sumber
| Tahun | Transisi teratur (% nilai) | Transisi tertunda dan tidak teratur (% nilai) | Kebijakan saat ini (% nilai) |
|---|---|---|---|
| 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 |
Metode
- Kelompok skenario iklim NGFS (2023), Climate Scenarios for central banks and supervisors, Phase IV
- Uji tekanan iklim terhadap sistem keuangan Battiston and others (2017), Nature Climate Change 7
- Fungsi kerusakan Nordhaus (2017), Revisiting the social cost of carbon, PNAS 114
- Saluran transmisi BCBS (2021), Climate-related risk drivers and their transmission channels
- Kipas ketidakpastian (Monte Carlo parametrik) Spiegelhalter, Pearson dan Short (2011), Memvisualisasikan ketidakpastian tentang masa depan, Science 333
- Sensitivitas satu per satu (tornado) Saltelli and others (2008), Global Sensitivity Analysis: The Primer, Wiley
Data
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:
- Luasan perkotaan Natural Earth
- Pelabuhan laut Natural Earth
- Tahun lalu, suhu harian (ERA5 melalui Open-Meteo) Open-Meteo.com (CC BY 4.0), Copernicus ERA5 (C3S/ECMWF) · register open-meteo.public-pages
- Suhu udara permukaan, siang hari (AIRS) NASA AIRS · register nasa.gibs.context-live-layers
Di seluruh enam pilar, dipimpin oleh Nexus Consortium
- Eksperimen Laboratorium
- Tertanam di Institutional Funds Nexus di Foundry
- Diuji pada Institutional Funds Nexus di Universe
- Dikodifikasi dalam Keuangan, Asuransi, dan Ekonomi di Standards
- Diterbitkan di Institutional Funds Nexus di Reports
- Diajarkan di Fakultas Keuangan dan Ekonomi di Academy
06Validasi
Cara hasil diperiksa.
Scenarios are reviewed for plausibility, internal consistency and severity relative to history. Exercise outcomes are compared with actual events when they occur.
| Pemeriksaan | Cara pelaksanaannya |
|---|---|
| Severity calibration | Shocks are compared with historical extremes and supervisory scenarios so severity is neither trivial nor implausible |
| Internal consistency | Rates, inflation, markets and longevity in each scenario are checked to move together in an economically coherent way |
| Management action review | Assumed responses, such as rebalancing or recapitalisation, are tested for whether they could be carried out in the time and market available |
| Comparison with events | When a real stress occurs, its effects are compared with what the scenario implied and the design is revised |
Scenario choice can reflect prevailing assumptions and miss novel combinations. Results depend on how participants and models represent responses.
07Eksposur, kerugian, dan modal
What stress testing institutional funds means for exposure, loss and capital.
Tampilan eksposur, kerugian, skenario, dan modal yang akan diminta oleh pejabat risiko, otoritas pengawas, atau kementerian keuangan, beserta kerangka pelaporan yang mereka gunakan. Strukturnya mengikuti praktik pengawasan dan aktuaria. Nilai bersifat ilustratif: tidak pernah merupakan harga, peringkat, atau saran.
Jalur skenario
How stress testing institutional funds could be stressed under the scenario families central banks and supervisors use.
| Kelompok skenario | Risiko transisi | Risiko fisik | Apa yang ditanyakan uji tekanan |
|---|---|---|---|
| Teratur | Kebijakan dini dan bertahap | Lebih rendah | Dapatkah portofolio menyerap penetapan ulang harga yang bertahap? |
| Tidak teratur | Kebijakan terlambat dan mendadak | Rendah hingga sedang | Apa yang rusak saat terjadi penetapan ulang harga mendadak dan migrasi kredit? |
| Dunia rumah kaca | Kebijakan terbatas | Tinggi dan meningkat | Di mana kerugian fisik terkonsentrasi dalam agunan dan asuransi? |
Skenario iklim NGFS · Network for Greening the Financial SystemIFRS S2 Pengungkapan terkait Iklim · ISSBRekomendasi TCFD · Financial Stability Board TCFDPrinsip-prinsip pengelolaan efektif risiko keuangan terkait iklim · Basel Committee on Banking Supervision
08Keterkaitan
Topik yang bertumpu pada metode ini.
09Pengelolaan
Siapa yang memelihara metode ini.
Manajemen Risiko Sistemik stewards scenario design and stress testing for the Consortium and reviews how it is applied across platforms.
10Terhubung
Ke mana halaman ini mengarah di seluruh Konsorsium.
11Pertanyaan
Tanya jawab.
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.
Bagaimana hasil diperiksa?
Scenarios are reviewed for plausibility, internal consistency and severity relative to history. Exercise outcomes are compared with actual events when they occur.
Apakah nilai di halaman ini nyata?
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.
Di mana lagi metode ini diterapkan?
Observatory Halaman metode kanonis mencantumkan setiap platform yang menerapkannya.
LaporanBerkontribusi
Kontribusikan bukti dari halaman ini.
Laporan 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.
Global Risks AllianceInstitutional Funds NexusKesiapan Pembiayaan dan AsuransiSkenario dan Uji Tekanan
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- LaporanGlobal Risks AllianceLihat semua cara berkontribusiJenis kontribusi, cara masing-masing ditinjau, kredit yang Anda terima, lisensinya, dan apa yang tidak pernah diterima.
Jangan pernah mengirim data pribadi, rincian infrastruktur sensitif, atau apa pun yang tidak berhak Anda bagikan. Kontribusi ditinjau sebelum digunakan. Mengirimkannya tidak memberikan hak kepenulisan atau editorial, dan sponsor tidak pernah membeli sebuah temuan.
Institutional Funds Nexus
Ajukan pertanyaan eksposur atau modal kepada Aliansi.
Informasi dan pertanyaan sudah terbuka hari ini. Sebuah pertanyaan menerima nomor referensi dan menyebutkan langkah berikutnya; lamaran, pembayaran, alokasi komputasi, dan pendaftaran hanya dibuka ketika tim, ketentuan, dan kapasitas tinjauannya tersedia.
Hukum
Dokumen hukum.
Peta, data, dan gambar di situs ini ditampilkan untuk konteks dan informasi umum. Semua itu bukan nasihat, prakiraan, atau peringatan; batasan informasinya dijelaskan dalam Penafian dan Pemberitahuan Data.