Required Capital for Long-run Risks
40 Pages Posted: 21 Aug 2021
Date Written: August 19, 2021
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.
Keywords: Long-Run Risk, Required Capital, Risk Profile, Prudential Supervision, Pension Fund, Transition Risks, Low Carbon, ESG Risk.
JEL Classification: C53, C58, E43, G12, G17
Suggested Citation: Suggested Citation
Gourieroux, Christian and Monfort, Alain and Renne, Jean-Paul, Required Capital for Long-run Risks (August 19, 2021). Available at SSRN: https://ssrn.com/abstract=3907847 or http://dx.doi.org/10.2139/ssrn.3907847
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