張同學(xué)
2022-07-24 20:43視頻里的21-22和下載的題里的不一樣，麻煩解釋下圖中的兩題
所屬：FRM Part II > Operational Risk and Resiliency 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個(gè)回答
姚奕助教
2022-07-31 11:59
該回答已被題主采納
22題：SolvencyII翻譯為償付率二代，是針對(duì)保險(xiǎn)公司的資本充足率要求，類似于銀行業(yè)的巴塞爾協(xié)議。償二代中對(duì)于保險(xiǎn)公司的償付率要求分為兩個(gè)級(jí)別：SCR和MCR。如下是兩個(gè)級(jí)別的說明：
? If its capital falls below the SCR level, an insurance company should, at minimum, deliver to the supervisor a plan to restore capital to above the SCR level. The supervisor might require the insurance company to take particular measures to correct the situation.
? The MCR is regarded as an absolute minimum level of capital. If capital drops below the MCR level, supervisors may prevent the insurance company from taking new business. It might force the insurance company into liquidation, transferring its policies to another company. The MCR will typically be between 25% and 45% of the SCR.
21題，關(guān)于RWA的計(jì)算步驟如下圖所示。
基本的計(jì)算思路是RWA=LGD*EAD*(WCDR-PD)*M調(diào)整因子
所以先把PD代入算相關(guān)系數(shù)rho和WCDR（請(qǐng)注意，WCDR公式里的N是標(biāo)準(zhǔn)正態(tài)分布函數(shù)，N-1是標(biāo)準(zhǔn)正態(tài)分布反函數(shù)，即反過來查表），題目中又說了M的調(diào)整因子直接是1.270，那么把這些參數(shù)都代入RWA計(jì)算公式，就能算出RWA。
不過這道題目是計(jì)算RWA的題目中最難的類型了，一般考試中可能難度會(huì)明顯低于這道題目。
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