We propose a methodology to quantify capital charges for concentration risk when economic capital calculations are conducted within a multifactor Merton framework. The concentration charge is defined through the impact of the sector on the portfolio loss curve. We propose two ways of measuring this effect. The first method relies on Monte Carlo simulation but has the advantage of not requiring the calibration of additional parameters and, hence, is easily applicable to banks that perform simulations. The second approach is a tractable, analytical formula that provides an efficient approximation to the first method. The proposed approach implies a simple and intuitive allocation of the resultant capital charge and is highly suitable to calculate capital charges for sector concentration risk under Pillar 2 of the Basel regulatory framework.

中文翻译：

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计算行业集中风险的资本费用

当在多因素默顿框架内进行经济资本计算时，我们提出了一种方法来量化集中风险的资本费用。集中费用是通过行业对投资组合损失曲线的影响来定义的。我们提出了两种衡量这种影响的方法。第一种方法依赖于蒙特卡罗模拟，但具有不需要校准额外参数的优点，因此很容易适用于执行模拟的银行。第二种方法是一种易于处理的分析公式，它提供了第一种方法的有效近似值。所提出的方法意味着对所得资本费用的简单和直观的分配，并且非常适合计算巴塞尔监管框架第二支柱下行业集中风险的资本费用。