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和棋 · 2020年10月29日

问一道题: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。

你好,III说的是不满足SRC,为什么给一个Warning是错的

1 个答案
已采纳答案

品职答疑小助手雍 · 2020年10月29日

嗨,努力学习的PZer你好:


不满足MCR会被要求禁止开展新业务并强制清算;不满足SCR的话,会被要求提供一个计划,这个计划里要阐述对目前的情况如何提供救助,并且如何使资本金恢复至要求水平。不单单是一个warning那么简单,所以III错


-------------------------------
努力的时光都是限量版,加油!


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