Julian Sester is a PhD student and research assistant at the department of quantitative finance at University of Freiburg, Germany. He studied mathematics at the University of Freiburg and received his Master of Science degree in 2015. His research interests include credit risk, mathematical finance as well as optimal transportation theory. In 2016 he was awarded a PhD-scholarship by the Carl-Zeiss foundation.
This paper proposes a methodology to quantify capital charges for concentration risk when economic capital calculations are conducted within a multifactor Merton framework.