Table 6: Varying corporate default probabilities.

Corporate default probabilitiesQuantileLoss
standard model
Loss
contagion model
Contagion impact

Unstressed99%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%

Stressed by 5%99%1,115,1531,250,570135,41712%
99.50%1,443,5793,003,9491,560,370108%
99.90%2,333,9354,968,3932,634,458113%
99.99%3,584,5065,713,4862,128,97959%

Stressed by 10%99%1,162,3291,260,42298,0938%
99.50%1,503,3483,003,9491,500,602100%
99.90%2,375,5704,968,3932,592,823109%
99.99%3,642,0995,713,4862,071,38757%