The Application of Macroprudential Capital Requirements in Managing Systemic Risk

Table 1

Increase in capital as a share of banks’ risk weighted assets for macroprudential capital allocation mechanism in 2008.

Bank	Component VaR	Incremental VaR	Shapley value EL	ΔCOVAR
1	−0.224490152	0.075807121	0.079291353	−0.53067966
2	−0.224490152	−0.098024516	−0.108952535	1.278613545
3	−0.224490152	−0.093480509	−0.097516656	−0.413673209
4	−0.224490152	−0.162273193	−0.164247199	0.181725936
5	−0.224490152	−0.144122078	−0.144675929	1.185156475
6	−0.224490152	0.129450668	0.130866402	1.171263759
7	−0.224490152	−0.052641093	−0.050383221	1.862680122
8	−0.224490152	0.739933973	0.74625635	−0.329806275
9	1.205658115	−0.144056852	−0.144084074	−0.507137053
10	−0.224490152	−0.151642289	−0.151117088	−0.631962395