<script type="text/javascript">
<!--
document.write('<div id="oa_widget"></div>');
document.write('<script type="text/javascript" src="https://www.openaire.eu/index.php?option=com_openaire&view=widget&format=raw&projectId=undefined&type=result"></script>');
-->
</script>

COPY SCRIPT

For further information contact us at helpdesk@openaire.eu

Required Capital for Long-run Risks

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 01 Jan 2021 Switzerland, France Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068,

Authors: Alain Monfort; Alain Monfort; Alain Monfort; Christian Gourieroux; Jean-Paul Renne;

doi: 10.2139/ssrn.3907847 , 10.1016/j.jedc.2022.104502

Required Capital for Long-run Risks

- Summary
- Subjects
- Metrics

Abstract

One of the objectives of the recent prudential regulation is to separate the computation of required capital for short- and long-run risks. This paper provides a coherent framework to define, compute, and update these components. We provide different examples, among which is the transition to low carbon economies.

Countries

Switzerland, France

Related Organizations

School for Advanced Studies in the Social Sciences
France
National Research Institute for Agriculture, Food and Environment
France
University of Toronto
Canada
École Polytechnique
France
University of Toronto
Finland

View all View all

Keywords

JEL: C - Mathematical and Quantitative Methods/C.C5 - Econometric Modeling/C.C5.C53 - Forecasting and Prediction Methods • Simulation Methods, JEL: E - Macroeconomics and Monetary Economics/E.E4 - Money and Interest Rates/E.E4.E43 - Interest Rates: Determination, 330, JEL: G - Financial Economics/G.G1 - General Financial Markets/G.G1.G17 - Financial Forecasting and Simulation, Short and Long-Run Required Capital, Pension Fund, and Effects, Term Structure, Risk Profile, Low Carbon, [SHS.ECO]Humanities and Social Sciences/Economics and Finance, Applied Mathematics; Control and Optimization; Economics and Econometrics, Long-Run Risk, Transition Risks, Microprudential Supervision, JEL: C - Mathematical and Quantitative Methods/C.C5 - Econometric Modeling/C.C5.C58 - Financial Econometrics, [SHS.ECO] Humanities and Social Sciences/Economics and Finance, B- ECONOMIE ET FINANCE, JEL: G - Financial Economics/G.G1 - General Financial Markets/G.G1.G12 - Asset Pricing • Trading Volume • Bond Interest Rates

Impact byBIP!

	citations This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	2
	popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.	Average
	influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	Average
	impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.	Average