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Gourieroux, Christian
, Monfort, Alain and Renne, Jean-Paul
(2022)
Required Capital for Long-Run Risks.
Journal of Economic Dynamics and Control, vol.144 (104502).
Official URL : http://tse-fr.eu/pub/127272
Identification Number : 10.1016/j.jedc.2022.104502
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.
| Item Type: | Article |
|---|---|
| Language: | English |
| Date: | November 2022 |
| Refereed: | Yes |
| Place of Publication: | Amsterdam |
| JEL Classification: | C53 - Forecasting and Other Model Applications E43 - Determination of Interest Rates; Term Structure of Interest Rates G12 - Asset Pricing; Trading volume; Bond Interest Rates G17 - Financial Forecasting |
| Subjects: | B- ECONOMIE ET FINANCE |
| Divisions: | TSE-R (Toulouse) |
| Site: | UT1 |
| Date Deposited: | 22 Nov 2022 09:55 |
| Last Modified: | 17 Jan 2023 08:26 |
| OAI Identifier: | oai:tse-fr.eu:127272 |
| URI: | https://publications.ut-capitole.fr/id/eprint/46266 |
