  Even in the simple one-factor credit portfolio model that underlies the Basel
II regulatory capital rules coming into force in 2007, the exact contributions
to credit value-at-risk can only be calculated with Monte-Carlo simulation or
with approximation algorithms that often involve numerical integration. As this
may require a lot of computational time, there is a need for approximate
analytical formulae. In this note, we develop formulae according to two
different approaches: the granularity adjustment approach initiated by M. Gordy
and T. Wilde, and a semi-asymptotic approach. The application of the formulae
is illustrated with a numerical example.
  Keywords: One-factor model, capital charge, granularity adjustment, quantile
derivative.
