Required capital for long-run risks

DOI10.1016/J.JEDC.2022.104502MaRDI QIDQ2102860zbMATH OpenOpenAlexWikidataFDO

Authors Christian Gouriéroux, Alain Monfort, Jean-Paul Renne

Publication date 12 December 2022

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1016/j.jedc.2022.104502

zbMATH Keywords

long-run risklow carbonmicroprudential supervisionpension fundrisk profileshort and long-run required capitaltransition risks

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cites work

• A theory of the term structure of interest rates
• Contagion phenomena with applications in finance
• Discounting climate change
• scientific article; zbMATH DE number 5354344 (Why is no real title available?)
• Strategic long-term financial risks: single risk factors

Cited in

(2)

• Necessary conditions for the CAPM
• Long-run risk in stationary vector autoregressive models

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