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《德意志银行资本管理实务》.pdf
Calculating and allocating capital for credit portfolios
Dirk Tasche∗
Deutsche Bundesbank
Banking and Financial Supervision Department
http://www.bundesbank.de
tasche@ma.tum.de
ISDS colloquium
Universit¨at Wien
Vienna, May 26, 2003
∗The views expressed in this presentation do not necessarily reflect those of the
Deutsche Bundesbank or of its staff.
i
Abstract
Capital allocation for credit portfolios has two meanings. First, at port-
folio level it means to determine capital as a buffer against an unex-
pected negative cash-flow resulting from credit losses. In this case, the
allocation method can be specified by means of a risk measure. Its
result is called total capital of the portfolio.
Second, at sub-portfolio or transaction level, capital allocation means
breaking down the total capital of the portfolio to its sub-units. The
resulting capital assignments are called risk contributions.
We introduce several current concepts for total capital and risk contri-
butions in a general setting. In particular, we discuss briefly the main
differences between regulatory and economic capital for credit insti-
tutions. Then we derive formulas and algorithms for the economic
concepts in the special case of the CreditRisk+ methodology with in-
dividual independent loss given default distributions.
ii
Contents
•
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