Required Capital for Long-Run Risks

C. Gouriéroux; A. Monfort; J. P. Renne

doi:10.1016/j.jedc.2022.104502

Required Capital for Long-Run Risks

C. Gouriéroux
, A. Monfort
, J. P. Renne

University of Toronto
CREST
University of Lausanne

Research output: Contribution to journal › Article › peer-review

2 Citations (Scopus)

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.

Original language	English
Article number	104502
Journal	Journal of Economic Dynamics and Control
Volume	144
DOIs	https://doi.org/10.1016/j.jedc.2022.104502
Publication status	Published - 1 Nov 2022
Externally published	Yes

Keywords

Long-Run Risk
Low Carbon
Microprudential Supervision
Pension Fund
Risk Profile
Short and Long-Run Required Capital
Transition Risks

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10.1016/j.jedc.2022.104502

Cite this

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title = "Required Capital for Long-Run Risks",

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, Low Carbon, Microprudential Supervision, Pension Fund, Risk Profile, Short and Long-Run Required Capital, Transition Risks",

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AU - Gouriéroux, C.

AU - Monfort, A.

AU - Renne, J. P.

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N2 - 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.

AB - 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.

KW - Long-Run Risk

KW - Low Carbon

KW - Microprudential Supervision

KW - Pension Fund

KW - Risk Profile

KW - Short and Long-Run Required Capital

KW - Transition Risks

U2 - 10.1016/j.jedc.2022.104502

DO - 10.1016/j.jedc.2022.104502

M3 - Article

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SN - 0165-1889

VL - 144

JO - Journal of Economic Dynamics and Control

JF - Journal of Economic Dynamics and Control

M1 - 104502

ER -

Required Capital for Long-Run Risks

Abstract

Keywords

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