  The paper discusses capital allocation using the Euler formula and focuses on
the risk measures Value-at-Risk (VaR) and Expected shortfall (ES). Some new
results connected to this capital allocation is known. Two examples illustrate
that capital allocation with VaR is not monotonous which may be surprising
since VaR is monotonous. A third example illustrates why the same risk measure
should be used in capital allocation as in the evaluation of the total
portfolio. We show how simulation may be used in order to estimate the expected
Return on risk adjusted capital in the commitment period of an asset. Finally,
we show how Markov chain Monte Carlo may be used in the estimation of the
capital allocation.
