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This paper poses a new methodology to estimate the required economic capital for a retail credit portfolio. The methodology is based on both the general copula concept and some core results from the extreme value theory (EVT). The main results support the fact that the proposed methodology is more flexible than other traditional techniques, in particular when it makes use of generalized elliptical and/or grouped t Student copulas to model the dependence structure of risk-parameters or when it includes elements of the EVT to analyze the extreme loss behavior of a retail credit portfolio. In applying algorithms, the paper includes data from a Mexican bank. [ABSTRACT FROM AUTHOR]