Incorporating Contagion in Portfolio Credit Risk Models Using Network Theory

Table 4

Portfolio losses for the test portfolios and additional risk due to contagion.

(a) Panel 1: Portfolio A

Quantile	Loss standard model	Loss contagion model	Contagion impact
99%	1,115,153	1,162,329	47,176	4%
99.50%	1,443,579	3,003,949	1,560,370	108%
99.90%	2,258,857	4,968,393	2,709,536	120%
99.99%	3,543,441	5,713,486	2,170,045	61%
Average loss	71,807	71,691

(b) Panel 2: Portfolio B

Quantile	Loss standard model	Loss contagion model	Contagion impact
99%	373,013	379,929	6,915	2%
99.50%	471,497	520,467	48,971	10%
99.90%	775,773	1,009,426	233,653	30%
99.99%	1,350,279	1,847,795	497,516	37%
Average loss	44,850	44,872