The Application of Macroprudential Capital Requirements in Managing Systemic Risk

Table 2

Increase in capital as a share of banks’ risk weighted assets for macroprudential capital allocation mechanisms in 2009.

Bank	Component VaR	Incremental VaR	Shapley value EL	ΔCOVAR
1	−0.838983488	−0.321911	−0.277249974	0.339348356
2	−0.838983488	−0.324542322	−0.291759584	0.492986513
3	−0.838983488	0.037474798	0.026574758	−0.49003279
4	−0.838983488	−0.392470575	−0.377802565	0.792001406
5	−0.838983488	−0.318295374	−0.313198791	−0.10427448
6	−0.838983488	−0.324506098	−0.3050429	0.453956728
7	−0.838983488	−0.367389192	−0.345570211	3.392491614
8	−0.838983488	0.735790757	0.738495391	−0.18476422
9	−0.838983488	0.565740871	0.550344543	−0.0511749
10	4.219043349	−0.292376022	−0.31859484	−0.41648809