Required Capital for Long-Run Risks

Christian Gourieroux, Alain Monfort and Jean-Paul Renne
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Christian Gourieroux: TSE-R - Toulouse School of Economics - UT Capitole - Université Toulouse Capitole - UT - Université de Toulouse - EHESS - École des hautes études en sciences sociales - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement, CREST - Centre de Recherche en Économie et Statistique - ENSAI - Ecole Nationale de la Statistique et de l'Analyse de l'Information [Bruz] - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - ENSAE Paris - École Nationale de la Statistique et de l'Administration Économique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique

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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)
Date: 2022-11
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Published in Journal of Economic Dynamics and Control, 2022, 144, pp.104502. ⟨10.1016/j.jedc.2022.104502⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03865173

DOI: 10.1016/j.jedc.2022.104502

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