Research Article
The Application of Macroprudential Capital Requirements in Managing Systemic Risk
Table 1
Increase in capital as a share of banks’ risk weighted assets for macroprudential capital allocation mechanism in 2008.
| Bank | Component VaR | Incremental VaR | Shapley value EL | ΔCOVAR |
| 1 | −0.224490152 | 0.075807121 | 0.079291353 | −0.53067966 | 2 | −0.224490152 | −0.098024516 | −0.108952535 | 1.278613545 | 3 | −0.224490152 | −0.093480509 | −0.097516656 | −0.413673209 | 4 | −0.224490152 | −0.162273193 | −0.164247199 | 0.181725936 | 5 | −0.224490152 | −0.144122078 | −0.144675929 | 1.185156475 | 6 | −0.224490152 | 0.129450668 | 0.130866402 | 1.171263759 | 7 | −0.224490152 | −0.052641093 | −0.050383221 | 1.862680122 | 8 | −0.224490152 | 0.739933973 | 0.74625635 | −0.329806275 | 9 | 1.205658115 | −0.144056852 | −0.144084074 | −0.507137053 | 10 | −0.224490152 | −0.151642289 | −0.151117088 | −0.631962395 |
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