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Article Dans Une Revue Journal of Economic Dynamics and Control Année : 2022

Required Capital for Long-Run Risks

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.

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hal-03865173 , version 1 (22-11-2022)

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Christian Gourieroux, Alain Monfort, Jean-Paul Renne. Required Capital for Long-Run Risks. Journal of Economic Dynamics and Control, 2022, 144, pp.104502. ⟨10.1016/j.jedc.2022.104502⟩. ⟨hal-03865173⟩
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