Research Article
The Application of Macroprudential Capital Requirements in Managing Systemic Risk
Table 2
Increase in capital as a share of banks’ risk weighted assets for macroprudential capital allocation mechanisms in 2009.
| Bank | Component VaR | Incremental VaR | Shapley value EL | ΔCOVAR |
| 1 | −0.838983488 | −0.321911 | −0.277249974 | 0.339348356 | 2 | −0.838983488 | −0.324542322 | −0.291759584 | 0.492986513 | 3 | −0.838983488 | 0.037474798 | 0.026574758 | −0.49003279 | 4 | −0.838983488 | −0.392470575 | −0.377802565 | 0.792001406 | 5 | −0.838983488 | −0.318295374 | −0.313198791 | −0.10427448 | 6 | −0.838983488 | −0.324506098 | −0.3050429 | 0.453956728 | 7 | −0.838983488 | −0.367389192 | −0.345570211 | 3.392491614 | 8 | −0.838983488 | 0.735790757 | 0.738495391 | −0.18476422 | 9 | −0.838983488 | 0.565740871 | 0.550344543 | −0.0511749 | 10 | 4.219043349 | −0.292376022 | −0.31859484 | −0.41648809 |
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