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hmmm · 2023年05月15日

选项4

  1. FRM II
  2. Basel Accord

NO.PZ2019070901000090

问题如下：

Ross is giving a speech about capital requirements for insurance companies. He mentioned that, for insurance companies,

I. the solvency capital requirement is higher than the minimum capital requirement.

II. Capital requirements for both banks and insurance companies are regulated according to Solvency II.

III. If the solvency capital requirement falls below the required level, a warning will be given by the regulators.

IV. The two approaches an insurance firm can use to calculate the SCR under Solvency II are Standardized approach and Internal models approach. The internal models approach is similar to the IRB approach of Basel II.

Which of the following statements would be correct to include in his speech?

选项：

A.

I only.

B.

II and IV only.

C.

I, III, and IV only.

D.

I and IV only.

解释：

D is correct.
考点：Solvency II.
解析：
MCR (The minimum capital requirement)对资本水平的要求要低于SCR (the solvency capital requirement)，statement I 正确。
Basel II是巴塞尔银行监管委员会针对银行业制定的系统性监管规定，而Solvency II则是针对欧洲保险业提出的一系列监管规定，因此statement II 错误。
如果MCR低于要求的水平，监管机构可以强制保险公司进行清算，并将公司的保险单转移到另一家公司，statement III 错误。
计算SCR有两种方法，标准法和内部模型法，内部模型法和Basel II中的内部评级法类似，保险公司需要计算一年期、置信度为99.5%的VaR, statement IV 正确。

，为什么说与IRC的方法相似？一个99.9%,%一个99.5%

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1 个答案

李坏_品职助教 · 2023年05月16日

嗨，爱思考的PZer你好：


这俩方法的原理是一致的，只不过内部模型法是99.5%，内部评级法是99.9%，只是置信度的区别而已。

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NO.PZ2019070901000090 问题如下 Ross is giving a speeabout capitrequirements for insurancompanies. He mentionethat, for insurancompanies,I. the solvencapitrequirement is higher ththe minimum capitrequirement.II. Capitrequirements for both banks aninsurancompanies are regulateaccorng to SolvenII.III. If the solvencapitrequirement falls below the requirelevel, a warning will given the regulators.IV. The two approaches insuranfirm cuse to calculate the Sunr SolvenII are StanrzeapproaanInternmols approach. The internmols approais similto the IRB approaof Basel II.Whiof the following statements woulcorreto inclu in his speech? A.I only. B.II anIV only. C.I, III, anIV only. I anIV only. is correct.考点SolvenII.解析M(The minimum capitrequirement)对资本水平的要求要低于S(the solvencapitrequirement)，statement I 正确。Basel II是巴塞尔银行监管委员会针对银行业制定的系统性监管规定，而SolvenII则是针对欧洲保险业提出的一系列监管规定，因此statement II 错误。如果MCR低于要求的水平，监管机构可以强制保险公司进行清算，并将公司的保险单转移到另一家公司，statement III 错误。计算SCR有两种方法，标准法和内部模型法，内部模型法和Basel II中的内部评级法类似，保险公司需要计算一年期、置信度为99.5%的VaR, statement IV 正确。 它写的是SCR不是minimum requirement，所以只有warning没问题吧

2024-11-12 17:29 1 · 回答

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2023-10-04 06:03 1 · 回答

你好，III说的是不满足SRC，为什么给一个Warning是错的

2020-10-29 12:51 1 · 回答

MCR低于要求的水平是强制清算 III说的是SCR低于要求的水平会被警告 为什么不对？

2019-11-15 21:32 1 · 回答