Required Capital for Long-run Risks

40 Pages Posted: 21 Aug 2021

See all articles by Christian Gourieroux

Christian Gourieroux

University of Toronto - Department of Economics; Center for Interuniversity Research and Analysis on Organization (CIRANO); Ecole Nationale de la Statistique et de l'Administration Economique (ENSAE); National Bureau of Economic Research (NBER)

Alain Monfort

National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST); National Bureau of Economic Research (NBER); Maastricht University

Jean-Paul Renne

University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)

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

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

Christian Gourieroux (Contact Author)

University of Toronto - Department of Economics ( email )

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Center for Interuniversity Research and Analysis on Organization (CIRANO) ( email )

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National Bureau of Economic Research (NBER)

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Alain Monfort

National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) ( email )

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National Bureau of Economic Research (NBER)

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Maastricht University

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Jean-Paul Renne

University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) ( email )

UNIL, Batiment Internef
Lausanne, 1015
Switzerland

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