現(xiàn)在FRM考試進(jìn)入備考關(guān)鍵時(shí)期，考生一定要認(rèn)真?zhèn)淇?。今天小編為大家列舉了FRM二級(jí)考試例題解析，一起了解一下！

Which of the following statements is correct regarding capital requirements for insurance companies?


A) Basel II includes the regulation of banks and insurance companies in the three pillars.

B) The minimum capital requirement is likely to be higher than the solvency capital requirement for insurance companies.

C) The repercussion for violating the solvency capital requirement is likely liquidation and the transfer of company insurance policies to another firm.

D) The internal models approach to calculating the solvency captial requirement is similar to internal ratings based approach under Basel II in that the firm must calculate a VaR with a one-year time horizon.

答案：D

解析：Solvency II, not Basel II, establishes capital requirements for insurance companies. The minimum capital requirement (MCR) is just that, a true floor and is thus likely to be lower than the solvency capital requirement (SCR).

The repercussion for violating the MCR is likely the prohibition of taking new business and possible liquidation. The repercussion for violating the SCR is the requirement of a plan to remedy the situation and bring the capital back to the required level. The internal models approach is similar to the internal ratings based approach under Basel II in that the insurance company must calculate a one-year VaR with a 99.5% confidence level (versus 99.9% confidence for banks under Basel II).

Which of the following concepts most likely to be a factor?

A) US Treasury Bill.

B) Corporate Bonds.

C) Private Equity.

D) Hedge Fund.

答案：A

解析：Assets, including corporate bonds, private equity, and hedge funds, are not considered factors themselves, but contain many factors, such as equity risk, interest rate risk, volatility risk, and default risk. Some assets, government bonds, can be thought of as factors themselves. Factors may also include the market (a tradable investment factor), interest rates, or investing styles (including value/growth, low volatility, or momentum).