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

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

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.

langue originale	Anglais
Numéro d'article	104502
journal	Journal of Economic Dynamics and Control
Volume	144
Les DOIs	https://doi.org/10.1016/j.jedc.2022.104502
état	Publié - 1 nov. 2022
Modification externe	Oui

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10.1016/j.jedc.2022.104502

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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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note = "Publisher Copyright: {\textcopyright} 2022",

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AU - Monfort, A.

AU - Renne, J. P.

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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.

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KW - Low Carbon

KW - Microprudential Supervision

KW - Pension Fund

KW - Risk Profile

KW - Short and Long-Run Required Capital

KW - Transition Risks

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DO - 10.1016/j.jedc.2022.104502

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JO - Journal of Economic Dynamics and Control

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Required Capital for Long-Run Risks

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