Rate and refinancing stress
Higher rates and tighter credit are applied to each holding’s debt stack and maturity profile, with sponsor and lender actions stated, to show where liquidity and covenants fail first.
GRA · Private Equity Nexus
空间金融资本与危害、风险暴露和转型的交汇之处
私募投资组合压力测试
Scenario design and stress testing ask how portfolio companies, funds and investors would fare under severe but plausible conditions: rate shocks, closed exit markets, physical disasters, supply failures or technology substitution. In private markets, where history is short and prices are estimated, scenarios often carry more information than statistical models.
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 and industry and robotics, 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.
Physical event across a portfolio
A flood or heat scenario is applied to geocoded sites and key suppliers of every holding, tracing damage and downtime into earnings, insurance recoveries and covenant headroom.
Exit freeze and investor liquidity
Exits are slowed for a stated period while capital calls continue, showing how distributions, secondary sales and fund-level borrowing interact at limited partners.
03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
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 |
|---|---|---|
| Supervisory scenarios (Bank of England, ECB, Federal Reserve) | Severity and macro paths | 已发布统计 |
| NGFS 气候情景 | Physical and transition pathways | 模型估算 |
| Historical market episodes | Analogues for severity and timing | 观测 |
| Portfolio company and fund data | Exposures and balance sheets | 已报告 |
05风险暴露、损失与资本
What stress testing private 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 stress testing private 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
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 |
|---|---|
| Severity against history | Each scenario is compared with past episodes and its relative severity stated |
| Internal consistency | Rates, spreads, valuations and exits move together in ways the scenario narrative explains |
| Stated management actions | Sponsor, lender and investor responses are listed and tested with and without them |
| Reverse stress testing | The conditions that would breach a stated tolerance are identified, not only the outcome of a chosen scenario |
Scenario choice can reflect prevailing assumptions and miss novel combinations. Results depend on how participants and models represent responses.
08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.
09已关联
本页在整个联合体中通向何处。
10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）Private Equity Nexus金融与保险准备度
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法律
法律文件。
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