《德意志银行资本管理实务》.pdfVIP

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 •