*3.2. CoCVaR Calculation Results*

In addition to numerical results presented in the following sections for new measures, we calculated systemic risk contributions based on the CoCVaR method. We reproduced the case study described in Section 3.3.4 of Huang and Uryasev (2017) with corrected input data (corrected the wrong sign in return data of financial instruments). We considered negative returns (losses) for each bank and the index. We averaged each bank's contributions across time and ranked them accordingly, where larger values correspond to stronger contributions to system's CoCVaR (the units of all reported values are 100%):

