Required capital for long run risk

macroprudential policy
Journal of Economic Dynamics & Control

Christian Gouriéroux, Alain Monfort, Jean-Paul Renne


August 1, 2022

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.

Link to paper