Research Article
The Application of Macroprudential Capital Requirements in Managing Systemic Risk
Table 3
Individual bank default probabilities under the macroprudential capital requirements in 2008.
| Bank | Basel equal | Component VaR | Incremental VaR | Shapley value EL | ΔCOVAR |
| 1 | 0.0552 | 0.0552 | 0.0332 | 0.0405 | 0.0552 | 2 | 0.1344 | 0.1344 | 0.1344 | 0.1344 | 0.0238 | 3 | 0.0952 | 0.0952 | 0.0952 | 0.0952 | 0.0952 | 4 | 0.0787 | 0.0787 | 0.0787 | 0.0787 | 0.0033 | 5 | 0.1356 | 0.1356 | 0.1356 | 0.1356 | 0.1268 | 6 | 0.1422 | 0.1422 | 0.0991 | 0.1201 | 0.0845 | 7 | 0.1247 | 0.1247 | 0.1247 | 0.1247 | 0 | 8 | 0.0081 | 0.0081 | 0 | 0.0001 | 0.0032 | 9 | 0.1065 | 0.0002 | 0.1065 | 0.0986 | 0.1065 | 10 | 0.0511 | 0.0511 | 0.0511 | 0.0511 | 0.0511 |
| Average | 0.09317 | 0.08254 | 0.08585 | 0.0879 | 0.05496 |
|
|