Gourieroux, Christian, Monfort, Alain and Renne, Jean-Paul (2022) Required Capital for Long-Run Risks. Journal of Economic Dynamics and Control, vol.144 (104502).

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Identification Number : 10.1016/j.jedc.2022.104502


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
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
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