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大浩浩的笔记课堂——FRM考试学习笔记131

2026-02-22 10:55:39

Topic 60 Solvency Ⅱ

1.The Solvency Ⅱ(EU,2016):

⑴introduction:

①It is a regulation of insurance company which is similar to Basel Ⅱ.

②It establishes the capital requirements for the operational risk,investment risk(including market risk and credit risk) and underwriting risk of insurance companies(including life insurance company,non-life insurance company and health insurance company).

⑵pillars:

①Pillar 1:

the calculation of capital requirements and the types of capital that an eligible:

A.solvency capital requirements(SCR):

a/ calculation:

△standardized approach:

It is analogous to Basel Ⅱ and is intended for less sophisticated insurance firm which captures the risk profile of the average insurance firm.

△internal models approach:

·definition:

It is similar to the IRB approach under Basel Ⅱ.A VaR is calculated with 1-year time horizon and a 99.5% confidence level.

·risks:

underwriting risk,investment risk(divided into market risk and credit risk) and operational risk

·model:

Models should satisfy the following 3 tests:

statistical quality test→calibration test→use test

b/ importance:

If falls below,insurance company should deliver the plan to restore.

B.minimum capital requirements(MCR):

a/ formula:

MCR=(25%to 45%)×SCR

b/ importance:

△If falls below,taking new business may be prevented.

△Regulators may also force the insurance company into liquidation and transfer the company´s insurance polices to another firm.

②Pillar 2:

the supervisory review

③Pillar 3:

the disclosure of risk management information to the market

⑶capital:

①tire 1:

equity capital,retained earnings,other equivalent funding sources

②tire 2:

liabilities that are subordinated to policy holders and satisfy certain criteria concerning their availability in winddown scenarios

③tire 3:

liabilities that are subordinated to policy holders and do not satisfy these criteria

2.The comparisons between Basel and Solvency:

⑴regulatory rules:

Basel Ⅱ/Ⅲ	Solvency Ⅱ
They are regulatory rules for banking	It regulate insurance companies in Europe

⑵the framework:

Basel Ⅱ/Ⅲ

Solvency Ⅱ

the

same

Both of them are modeled on a 3 Pillar structure:

Pillar 1:

quantitative requirements regarding required capital and risk measurement

Pillar 2:

qualitative conditions of risk management,terms of supervisory review process,and institution´s assessment of risk and solvency

Pillar 3:

requirements regarding disclosure

the

difference

There is a stronger emphasis on the stability of the financial system(systemic risk)

It focuses on individual policyholders

⑶VaR parameters:

Basel Ⅱ/Ⅲ

Solvency Ⅱ

11.For market risk VaR,a one-tailed confidence level of 99% is required

22.It is increased to 99.9% for credit risk as well as the operational risk AMA

There is a confidence level of 99.5% for the insurance company as a whole

⑷risk classes:

Basel Ⅱ/Ⅲ	Solvency Ⅱ
It considers 3 risk classes(market risk,credit risk and operational risk).In addition,Basel Ⅲ emphasizes liquidity risk	It comprehensively assesses all quantitatively measurable risk types,especially operational risks and investment risks in addition to underwriting risk

⑸minimum capital requirements:

Basel Ⅱ/Ⅲ

Solvency Ⅱ

There is only 1 minimum equity capital ratio requirement

Capital requirements use a two-level approach:

solvency capital requirements(SCR) ＆ minimum capital requirement(MCR)

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