22.1 Introduction22.2 Credit Risk Model22.3 Risk Contributions and Capital Allocation22.4 Marginal Contributions in the Linear, Homogeneous Case22.5 Marginal Contributions for Linear, Nonhomogeneous Functions22.6 Marginal Contributions for Nonlinear Risk Functions22.7 ConclusionAppendix: Factor Models of Credit RiskAcknowledgments