The Application of Macroprudential Capital Requirements in Managing Systemic Risk

Table 4

Individual bank default probabilities under the macroprudential capital requirements in 2009.

Bank	Basel equal	Component VaR	Incremental VaR	Shapley value EL	ΔCOVAR
1	0.1177	0.1177	0	0.0006	0.0065
2	0.1311	0.1311	0.0111	0.0001	0.0018
3	0.1	0.1	0	0	0.1
4	0.1508	0.1508	0.0197	0.0005	0.0005
5	0.157	0.157	0.0023	0.0558	0.0752
6	0.1643	0.1643	0.1643	0.0543	0.0063
7	0.18	0.18	0.18	0.0002	0
8	0.0722	0.0722	0	0	0.0263
9	0.9982	0.9982	0.9982	0.9982	0.9982
10	0.1222	0.0886	0.0094	0.0037	0.1222
Average	0.21935	0.21599	0.1385	0.11134	0.1337