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.
JEL codes
- 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
Reference
Christian Gouriéroux, Alain Monfort, and Jean-Paul Renne, “Required Capital for Long-Run Risks”, Journal of Economic Dynamics and Control, vol. 144, n. 104502, November 2022.
Published in
Journal of Economic Dynamics and Control, vol. 144, n. 104502, November 2022