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