Table 2 Results of VaR, CoVaR and ΔCoVaR...

Table 2

Results of VaR, CoVaR and ΔCoVaR

Bank	${V a R}_{0.05}^{S Y S \| B a n k i}$	${C o V a R}_{0.05}^{S Y S \| B a n k i}$	$Δ {C o V a R}_{0.05}^{S Y S \| B a n k i}$
2	−3.58	−4.29	−2.95
11	−3.25	−3.98	−2.88
1	−3.52	−4.19	−2.65
26	−3.02	−3.80	−2.44
22	−2.96	−3.66	−2.39
13	−2.78	−3.54	−2.30
9	−3.05	−3.71	−2.22
20	−2.81	−3.50	−2.14
8	−2.89	−3.62	−2.08
18	−2.68	−3.37	−1.97
23	−2.45	−3.20	−1.88
29	−2.83	−3.51	−1.85
14	−2.66	−3.42	−1.80
16	−2.76	−3.47	−1.77
21	−2.38	−3.05	−1.65
3	−2.24	−2.93	−1.60
5	−1.95	−2.65	−1.51
24	−2.12	−2.85	−1.50
7	−2.18	−2.78	−1.41
28	−1.96	−2.72	−1.22
27	−1.91	−2.69	−1.09

Bank	${V a R}_{0.05}^{S Y S \| B a n k i}$	${C o V a R}_{0.05}^{S Y S \| B a n k i}$	$Δ {C o V a R}_{0.05}^{S Y S \| B a n k i}$
2	−3.58	−4.29	−2.95
11	−3.25	−3.98	−2.88
1	−3.52	−4.19	−2.65
26	−3.02	−3.80	−2.44
22	−2.96	−3.66	−2.39
13	−2.78	−3.54	−2.30
9	−3.05	−3.71	−2.22
20	−2.81	−3.50	−2.14
8	−2.89	−3.62	−2.08
18	−2.68	−3.37	−1.97
23	−2.45	−3.20	−1.88
29	−2.83	−3.51	−1.85
14	−2.66	−3.42	−1.80
16	−2.76	−3.47	−1.77
21	−2.38	−3.05	−1.65
3	−2.24	−2.93	−1.60
5	−1.95	−2.65	−1.51
24	−2.12	−2.85	−1.50
7	−2.18	−2.78	−1.41
28	−1.96	−2.72	−1.22
27	−1.91	−2.69	−1.09

Source(s): Authors’ calculation

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