The capture kernel runs on the same host. It runs in memory that the panic'd kernel reserved for the capture kernel to use. The capture kernel is started with the
kexec mechanism by the panicing kernel.
/proc/vmcore should be provided by the kernel if its setup to export a memory image. If your kernel does not have a
/proc/vmcore, then you're missing the right kernel
The linux kernel source implies that
/proc/vmcore is only populated inside a capture kernel (the kernel command line providing the address of the panic'd kernels vmcore ELF header is required), so
/proc/vmcore will exist in a regular kernel, but won't contain anything at all.
Inside the capture kernel,
/proc/vmcore presents the crashed kernel as an ELF core image.
Here's some RH doc with more details: https://access.redhat.com/knowledge/solutions/6038