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.
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 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 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.
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
Public finance and sovereign debt · Scenario design and stress testing · Run R-2370
Severe case breaches limitGRA · 公共财政与主权债务
情景集
| 基线 | Central | 22 | 范围之内 |
| Adverse | 1-in-25 | 49 | 关闭 |
| 严重 | 1-in-100 | 76 | 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
- 3 years
- 标签
- 模型估算
Impact build-up, severe case
05情景模型
主权债务路径与突破阈值的可能性。
债务路径的分布，以及期末超过关注阈值的份额，是主权投资者和评级分析师从扇形图中读取的内容。这是带有明示示意数值的教学模型，不是预测。
- 中位数、25% 至 75% 区间和 10% 至 90% 区间
- 无冲击
控制措施
- 当前债务
- 占 GDP 的 70%
- 有效名义利率
- 5.0%
- 名义 GDP 增长
- 4.5%
- 基本余额
- 占 GDP 的 −0.5%
- 增长的波动性
- 2.0 个点
- 利率的波动性
- 1.0 个点
- 未来年数
- 10 年
- 关注阈值
- 占 GDP 的 90%
读数
- 时间跨度末的债务中位数
- 占 GDP 的 79%
- 期末高于阈值的路径
- 3%
- 稳定债务的基本余额
- 占 GDP 的 0.3%
数字、方法与来源
| 年份 | 10% | 25% | 中位数 | 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 |
方法
- 债务动态与利率增长差 Blanchard（2019），《公共债务与低利率》，American Economic Review 109
- 随机扇形图 Celasun、Debrun 和 Ostry（2006），IMF Staff Papers 53
- 主权风险与债务可持续性框架 IMF (2022), Staff Guidance Note on the SRDSF
数据
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.
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 |
|---|---|
| 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.
07风险暴露、损失与资本
What it 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。
资本、偿付能力和财政指标
The indicators a risk officer, supervisor or ministry of finance reads first on scenario design and stress testing for public finance and sovereign debt.
| 指标 | 单位 | 谁来阅读 | 框架 |
|---|---|---|---|
| 公共债务 | 占 GDP 的 % | 财政部、IMF | 债务可持续性框架 |
| 总融资需求 | 每年占 GDP 的 % | 财政部、投资者 | 债务可持续性框架 |
| 或有负债 | 占 GDP 的 %，按来源划分 | 财政部门 | 财政风险声明 |
| 利息占收入的比重 | 占收入的百分比 | 财政部、评级使用方 | 公共财政统计 |
| 主权利差 | 高于基准的基点 | 投资者、债务管理者 | 市场数据 |
| CET1 比率 | 占风险加权资产的百分比 | 银行、监管机构 | 巴塞尔框架 |
| 流动性覆盖率 | 压力流出的 % | 银行、中央银行 | 巴塞尔框架 |
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？
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）公共财政与主权债务金融与保险准备度国家系统风险与韧性
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法律
法律文件。
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