Modeling credit risk in retail banking with application to regulatory and economic capital calculation and allocation.

Summary This thesis deals with the calculation and allocation of regulatory and economic capital for credit risk in retail banking. For the calculation of regulatory capital, we propose an approach that relies on a model of the loss on the portfolio at the horizon of one year. Thus, the model for portfolio aggregation is developed according to two methods: Basel II and a more general model called Basel II "extended". Capital requirements are calculated using indicators constructed with quantiles of the loss distribution. We emphasize the benefits of our correlation structure, the core of the Basel II extended approach, to take into account diversification effects. We calculate an economic capital from a valuation of the debt portfolios. The economic capital is defined as the average value of the portfolio at the horizon, minus the Expected Shortfall of the value distribution.