Incorporating Contagion in Portfolio Credit Risk Models Using Network Theory

Table 5

Varying the sovereign rating.

Sovereign rating	Quantile	Loss; standard model	Loss; contagion model	Contagion impact
BB	99%	1,115,153	1,162,329	47,176	4%
	99.50%	1,443,579	3,003,949	1,560,370	108%
	99.90%	2,258,857	4,968,393	2,709,536	120%
	99.99%	3,543,441	5,713,486	2,170,045	61%
BBB	99%	1,115,153	1,115,153	-	0%
	99.50%	1,443,009	1,490,755	47,746	3%
	99.90%	2,229,742	3,613,625	1,383,883	62%
	99.99%	3,496,264	5,432,236	1,935,972	55%
A	99%	1,114,583	1,114,583	-	0%
	99.50%	1,443,009	1,443,009	-	0%
	99.90%	2,229,737	2,469,922	240,185	11%
	99.99%	3,455,199	5,056,639	1,601,439	46%