0
$\begingroup$

I am looking to calculate the Capital Charge or Capital Add on for Concentration risk using standardised approach using HHI

Below is the HHI index calculation

enter image description here

What is procedure to calculate the additional capital requirement due to single name concentration risk?

Thanks in advance for the support and guidance

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.