Table 4: Portfolio losses for the test portfolios and additional risk due to contagion.
(a) Panel 1: Portfolio A

QuantileLoss standard modelLoss contagion modelContagion impact

99%1,115,1531,162,32947,1764%
99.50%1,443,5793,003,9491,560,370108%
99.90%2,258,8574,968,3932,709,536120%
99.99%3,543,4415,713,4862,170,04561%

Average loss71,80771,691

(b) Panel 2: Portfolio B

QuantileLoss standard modelLoss contagion modelContagion impact

99%373,013379,9296,9152%
99.50%471,497520,46748,97110%
99.90%775,7731,009,426233,65330%
99.99%1,350,2791,847,795497,51637%

Average loss44,85044,872