Emerging Practices for Capital Adequacy © Copyright 2003, CCRO. All rights reserved. 36 5.5.3 Estimation of credit risk capital The summation of risk capital across counterparties is possible because each counterparty default is related to the market systematic risk. One aspect not captured above is the need for additional capital requirement due to the uncertainty of the derivative exposure. Based on research recently published by ISDA (ISDA-LIBA-TBMA Counterparty Risk Market Survey 2003), this is not a material error for real world derivative portfolios. The conclusion indicates that the economic capital for a well-diversified derivatives portfolio might be 110% of a similar loan portfolio, and even with extreme assumptions, it is likely that this ratio does not exceed 130%.