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上小学 · 2023年10月04日

请问第四个选项应该错误啊，计量的风险都不一样，怎么能说相似呢

  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。

讲义中并没有题计量的方法相似，包含的风险都不一样，很难说计量的方法一样。

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品职答疑小助手雍 · 2023年10月07日

同学你好，讲义205页原话。

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