Table 5: Varying the sovereign rating.

Sovereign ratingQuantileLoss
standard model
Loss
contagion model
Contagion impact

BB99%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%

BBB99%1,115,1531,115,153-0%
99.50%1,443,0091,490,75547,7463%
99.90%2,229,7423,613,6251,383,88362%
99.99%3,496,2645,432,2361,935,97255%

A99%1,114,5831,114,583-0%
99.50%1,443,0091,443,009-0%
99.90%2,229,7372,469,922240,18511%
99.99%3,455,1995,056,6391,601,43946%