Article

Required Capital for Long-Run Risks

Christian Gouriéroux, Alain Monfort et Jean-Paul Renne

Résumé

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.

Codes JEL

  • C53: Forecasting and Prediction Methods • Simulation Methods
  • C58: Financial Econometrics
  • E43: Interest Rates: Determination, Term Structure, and Effects
  • G12: Asset Pricing • Trading Volume • Bond Interest Rates
  • G17: Financial Forecasting and Simulation

Référence

Christian Gouriéroux, Alain Monfort et Jean-Paul Renne, « Required Capital for Long-Run Risks », Journal of Economic Dynamics and Control, vol. 144, n° 104502, novembre 2022.

Publié dans

Journal of Economic Dynamics and Control, vol. 144, n° 104502, novembre 2022