Required Capital for Long-Run Risks

C. Gouriéroux, Alain Monfort and Jean-Paul Renne

Journal of Economic Dynamics and Control, 2022, vol. 144, issue C

Abstract: One of the objectives of the recent microprudential regulation is to separate the computation of required capital for short-run and long-run risks. This paper provides a coherent framework to define, compute, and update these components. The approach is developed in greater details in the context of the transition to low-carbon economies. A numerical example is given.

Keywords: Long-Run Risk; Short and Long-Run Required Capital; Risk Profile; Microprudential Supervision; Pension Fund; Low Carbon; Transition Risks (search for similar items in EconPapers)
JEL-codes: C53 C58 E43 G12 G17 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:dyncon:v:144:y:2022:i:c:s0165188922002068

DOI: 10.1016/j.jedc.2022.104502

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