solvency ii

  1. Nicole Seaman

    P2.T7.20.8. Capital regulation before the global financial crisis (2nd of 2)

    Learning objectives: Describe changes to the Basel regulations made as part of Basel II, including the three pillars. Compare the standardized IRB approach, the Foundation Internal Ratings-Based (IRB) approach and the advanced IRB approach for the calculation of credit risk capital under Basel...
    • Nicole Seaman
    • Thread
    • advanced-irb-approach advanced-measurement-approach basel i basel ii basel-1-regulations basel-amendments basic-indicator-approach foundation-irb-approach solvency ii standardized-approach standardized-irb-approach
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    • Forum: FRM® Practice Questions
  2. Nicole Seaman

    P2.T7.519. Basel II credit risk parameters and Solvency II (Hull)

    Learning outcomes: Define in the context of Basel II and calculate where appropriate: Probability of default (PD), Loss given default (LGD), Exposure at default (EAD), Worst-case probability of default. Differentiate between solvency capital requirements (SCR) and minimum capital requirements...
  3. Nicole Seaman

    P2.T7.414 Solvency II versus Basel III: differences

    AIMs: Explain the difference between the Basel II/III and the Solvency II frameworks for the capture of diversification benefits. Explain the difference between Basel II/III and the Solvency II frameworks with respect to: 1) risk classes and capital requirements, 2) risk measure and calibration...
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