Capital weight and risk weight are different numbers. A 10% allocation to a volatile, highly correlated asset can supply 35% of portfolio volatility; a 25% allocation to a quiet, uncorrelated one might supply 8%.
The calculation uses each position's marginal effect on portfolio volatility, weighted by its size. The intuition to carry: a position's risk contribution rises with its own volatility, its weight, and its correlation to the rest of the book. That third term is why adding a second position in the same sector contributes far more risk than the position size suggests.
Reviewing contributions rather than allocations is the single most useful portfolio habit for an active trader. It regularly reveals that one idea is supplying most of the variance, which is concentration-risk that no position list makes visible.
Related: portfolio-volatility, concentration-risk, inverse-volatility-weighting, effective-number-of-bets