Standard DSA stress tests
Shocks to growth, interest rates, exchange rates and the primary balance are applied to debt projections, as in the IMF and World Bank frameworks.
GRA · Public Finance and Sovereign Debt
Spatial financeWhere capital meets hazard, exposure and transition
Scenario design and stress testing for public finance and sovereign debt
Scenario analysis and stress testing show how public debt and fiscal balances would evolve under adverse conditions. On this platform they explain the stress tests in debt sustainability frameworks, contingent liability shocks and climate scenarios for public finances.
01تۆمارکردن
Scenario design and stress testing for public finance and sovereign debt on the record.
Method recordSTEM method
- ڕێگادیزاینی سیناریۆ و تاقیکردنەوەی گوشار
- پارێزەربەڕێوەبردنی مەترسیی سیستەمی
- Applied inداراییی گشتی و قەرزی سەروەرانە
- داتا3 inputs
- Checks3 validation steps
- Canonical pageSTEM Commons
02بەکارهێنان
What scenario design and stress testing does here.
Scenario design and stress testing construct plausible, severe future conditions to examine how سیستەمەکان and institutions would perform. They complement probabilistic analysis where data are scarce or futures are deeply uncertain. In sovereign and public finance, development finance and disaster and crisis, 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 the STEM Commons.
Contingent liability shocks
Scenarios where guarantees are called or state enterprises need support are added to debt paths to show their potential effect.
Climate and disaster scenarios
Disaster shocks and transition paths are introduced into fiscal projections, with assumptions and uncertainty documented for users.
03چاودێری
Scenario stress.
The screen a team would use to follow this method: its measures, states and decisions. Names are examples and values are illustrative.
Scenario stress
Public finance and sovereign debt · Scenario design and stress testing · Run R-2370
Severe case breaches limitGRA · Public Finance and Sovereign Debt
Scenario set
| بنەڕەت | Central | 22 | لەناو |
| Adverse | 1-in-25 | 49 | داخستن |
| توند | 1-in-100 | 76 | Breach |
| Reverse stress | Find the break | 100 | Defines edge |
Method card
- ڕێگا
- دیزاینی سیناریۆ و تاقیکردنەوەی گوشار
- گێڕانەوە
- compound shock
- Horizon
- 3 years
- ناونیشان
- مۆدێلکراو
Impact build-up, severe case
04داتا
What the method consumes.
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 the source register.
| داتا | ڕۆڵ | ناونیشان |
|---|---|---|
| Baseline projections | Starting path | FORECAST |
| Historical shock sizes | Calibration | چاودێریکراو |
| Contingent liability data | Shock inputs | REPORTED |
05Scenario model
Sovereign debt paths and the odds of breaching a threshold.
The distribution of debt paths, and the share above a threshold of concern at the horizon, that sovereign investors and rating analysts read from a fan chart. Teaching model with stated illustrative values, not a prediction.
- Median, 25% to 75% and 10% to 90% bands
- No shocks
کۆنترۆڵەکان
- Debt today
- 70% of GDP
- Effective nominal interest rate
- 5.0%
- Nominal GDP growth
- 4.5%
- Primary balance
- −0.5% of GDP
- Volatility of growth
- 2.0 points
- Volatility of the interest rate
- 1.0 points
- ساڵەکانی داهاتوو
- 10 years
- Threshold of concern
- 90% of GDP
خوێندنەوەکان
- Median debt at the horizon
- 79% of GDP
- Paths above the threshold at the horizon
- 3%
- Primary balance that stabilises debt
- 0.3% of GDP
ژمارە، ڕێگا و سەرچاوەکان
| ساڵ | 10% | 25% | Median | 75% | 90% |
|---|---|---|---|---|---|
| 0 | 70.0 | 70.0 | 70.0 | 70.0 | 70.0 |
| 1 | 68.8 | 69.8 | 70.9 | 71.9 | 72.8 |
| 2 | 68.7 | 70.2 | 71.6 | 73.4 | 74.9 |
| 3 | 69.2 | 70.8 | 72.5 | 74.7 | 76.5 |
| 4 | 69.3 | 71.3 | 73.2 | 75.4 | 77.9 |
| 5 | 69.8 | 71.6 | 74.2 | 76.6 | 79.0 |
| 6 | 70.3 | 72.5 | 74.9 | 77.8 | 80.3 |
| 7 | 70.5 | 73.1 | 75.7 | 79.0 | 82.0 |
| 8 | 71.0 | 73.6 | 76.6 | 80.0 | 83.1 |
| 9 | 71.6 | 74.2 | 77.8 | 81.0 | 84.7 |
| 10 | 72.0 | 75.0 | 78.7 | 82.4 | 85.9 |
ڕێگاکان
- Debt dynamics and the interest-growth differential Blanchard (2019), Public debt and low interest rates, American Economic Review 109
- Stochastic fan charts Celasun, Debrun and Ostry (2006), IMF Staff Papers 53
- Sovereign risk and debt sustainability framework IMF (2022), Staff Guidance Note on the SRDSF
داتا
No observed data enters this model: it runs on the teaching values set by the controls, to be replaced with a programme’s own evidence.
لە ناو شەش کۆڵەکەکەدا، بە سەرپەرشتیی Nexus Consortium
- تاقیکردنەوەکان Labs
- تێدا دروستکراوە Public Finance and Sovereign Debt in Foundry
- تاقیکراوەتەوە لە Public Finance and Sovereign Debt in Universe
- کۆدکراوە لە دارایی، بیمە و ئابووری لە Standards
- بڵاوکراوەتەوە لە Public Finance and Sovereign Debt in Reports
- فێرکراو لە کۆلێژی دارایی و ئابووری لە Academy
06پشتڕاستکردنەوە
How results are checked.
Scenarios are reviewed for plausibility, internal consistency and severity relative to history. Exercise outcomes are compared with actual events when they occur.
| بپشکنە | How it is done |
|---|---|
| Severity calibration | Shocks are calibrated to historical experience |
| Combined shocks | Combined scenarios are run, not only single shocks |
| Conditional framing | Results are presented as conditional, not forecasts |
Scenario choice can reflect prevailing assumptions and miss novel combinations. Results depend on how participants and models represent responses.
07Exposure, loss and capital
What it means for exposure, loss and capital.
The exposure, loss, scenario and capital views a risk officer, supervisor or ministry of finance would ask for, with the frameworks they report against. Structures follow supervisory and actuarial practice. Values are illustrative: never prices, ratings or advice.
Capital, solvency and fiscal indicators
The indicators a risk officer, supervisor or ministry of finance reads first on scenario design and stress testing for public finance and sovereign debt.
| Indicator | Unit | Who reads it | Framework |
|---|---|---|---|
| Public debt | % of GDP | Ministries of finance, IMF | Debt Sustainability Framework |
| Gross financing needs | % of GDP per year | Ministries of finance, investors | Debt Sustainability Framework |
| Contingent liabilities | % of GDP, by source | Ministries of finance | Fiscal risk statements |
| Interest to revenue | % of revenue | Ministries of finance, rating users | Public finance statistics |
| Sovereign spread | basis points over a benchmark | Investors, debt managers | Market data |
| CET1 ratio | % of risk-weighted assets | Banks, supervisors | Basel framework |
| Liquidity coverage ratio | % of stressed outflows | Banks, central banks | Basel framework |
NGFS climate scenarios · Network for Greening the Financial SystemIFRS S2 Climate-related Disclosures · ISSBTCFD recommendations · Financial Stability Board TCFDPrinciples for the effective management of climate-related financial risks · Basel Committee on Banking Supervision
08Connections
Topics that rely on this method.
09Stewardship
Who maintains the method.
بەڕێوەبردنی مەترسیی سیستەمی stewards scenario design and stress testing for the Consortium and reviews how it is applied across platforms.
10پەیوەست
ئەو شوێنانەی ئەم لاپەڕەیە لە ناو کۆنسۆرتیۆم بۆیان دەبات.
11پرسیارەکان
پرسیار و وەڵام.
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.
How are results checked?
Scenarios are reviewed for plausibility, internal consistency and severity relative to history. Exercise outcomes are compared with actual events when they occur.
Are the values on this page real?
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.
Where else is this method applied?
ئەو canonical method page lists every platform that applies it.
Reportsبەشداربە
لەم لاپەڕەیەوە بەڵگە پێشکەش بکە.
Reports 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 Allianceداراییی گشتی و قەرزی سەروەرانەئامادەیی دارایی و بیمەمەترسی و خۆڕاگریی سیستەمی وڵات
- ئیمەیڵGateway GW-GRAلەم لاپەڕەیەوە بینێرەبەڵگە، ڕاستکردنەوە، بابەت، ڕێگا، پێداچوونەوە، وەرگێڕان یان تێکردنی پڕۆفایل. بە نیشانەی ئەم لاپەڕەیە دەگات، بۆ ئەوەی دەستکاریکەری خاوەنەکەی وەریبگرێت.
- Zenodoتەکیەی کراوەدایبنێ و بیدە بە کۆمەڵگاتۆماری خۆت لە Zenodo بە ORCID iD ی خۆت بڵاو بکەرەوە، پاشان لەوێ بیدە بە کۆمەڵگای Reports. سەرپەرشتیارەکان پێداچوونەوەی بۆ دەکەن؛ DOI هەر هی تۆیە.
- ReportsGlobal Risks Allianceهەموو ڕێگاکانی بەشداری ببینەجۆرەکانی بەشداری، هەریەکە چۆن پێداچوونەوەی بۆ دەکرێت، چ ناوبردنێک وەردەگریت، مۆڵەتەکە و ئەوەی هەرگیز وەرناگیرێت.
هەرگیز داتای کەسی، وردەکاریی هەستیاری ژێرخان یان هیچ شتێک مەنێرە کە مافی بڵاوکردنەوەت نییە. بەشدارییەک پێش بەکارهێنان پێداچوونەوەی بۆ دەکرێت؛ ناردنی ماف نابەخشێت بە نووسەرایەتی یان بەڕێوەبردنی ڕاگەیاندن، و پاڵپشتی دارایی هەرگیز دۆزینەوەیەک ناکڕێت.
داراییی گشتی و قەرزی سەروەرانە
Bring an exposure or capital question to the Alliance.
زانیاری و پرسیار ئەمڕۆ کراوەن. پرسیارێک ژمارەی ئاماژەی پێدەدرێت و هەنگاوی دواتر دیاری دەکات؛ داواکاری، پارەدان، تەرخانکردنی کۆمپیوتەر و تۆمارکردن تەنیا کاتێک دەکرێنەوە کە تیم، مەرج و توانای پێداچوونەوەیان هەبێت.
یاسایی
بەڵگەنامە یاساییەکان.
نەخشە، داتا و وێنەکانی ئەم ماڵپەڕە بۆ ناوەڕۆک و زانیاریی گشتی پیشان دراون. ئامۆژگاری، پێشبینی یان ئاگادارکردنەوە نین؛ سنوورەکانی زانیارییەکە لە ڕەتکردنەوەی بەرپرسیارێتی و ئاگاداریی داتادا دەستنیشان کراون.