Comparative Assessment of Basel III and Solvency II von Edu Pristine

Dozent des Vortrages Comparative Assessment of Basel III and Solvency II

Edu Pristine

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... which has been further improved under Basel III whereas Solvency II framework governs Insurance companies under EU Insurance directive. Both Basel II/III & Solvency II are based on ...

... Basel III is an extension of Basel II since it introduces more robust norms for capital in form of having higher loss absorbing capacity & buffers (Countercyclical ...

... a 12 month period of stress assumption. It also considers potential MtM differences due to credit downgrades resulting in higher replacement cost and also introduces leverage ...

... in Basel II/III is linked to each risk individually with a separate confidence level for each individual risk. In Insurance under Solvency II, 99.5% confidence interval ...

... importance in Banks since a Bank run can translate into a systemic risk. They are exposed to asset risk due to liquidity changes. Insurance industry ...

... under stress, leverage ratio & overall liquidity management. Core Tier I will increase to 4.5% of RWA by 2015 compared to present requirement of 2%. To overcome pro-cyclicity a countercyclical buffer up to 2.5% is introduced in order to reduce ...

... to ensure a low one year default probability. Incorporates all factors related to underwriting risk. Minimum Capital Requirements (MCR) – Lies between 25% -45% of SCR. Its a threshold below which the supervisor will cancel a insurance company's license. In case of ...

... diversification. Sum of capital requirements across risk classes must be greater than 8%.No diversification benefit considered. CRAR = capital/(credit RWA+ 12.5* market risk capital+12.5*operational risk capital) >=8%. Solvency II considers diversification benefits in asset classes. Where the correlations between different underwriting risks ...

... all major risks. Solvency II has MCR & SCR which is a 2 level approach. In case of Basel III, mainly MCR however introduction of countercyclical buffer results in a 2 level approach. Basel II/III capital ...

... to Basel II/III. In Basel II/III only Level I diversification benefits are there whereas in Solvency II all levels of diversification are there. In Basel II/III, basis of ...

... frameworks have qualitative requirements regarding risk management & supervisory review under Pillar II which can be analyzed based on aspects of internal risk management process, governance, additional ...

... risks for the Banks where projections of all risk parameters & capital requirements are done to assess the risks. For insurance, ...

... risk are assessed whereas in Solvency II all risks are considered. Solvency II refers to technical provisions which are not considered in ...

... Solvency II assessment is towards identifying factors which may threaten solvency of insurer. Solvency II has more ...

... & market mechanisms by providing information. Public disclosures applicable only at management level in Basel II/III whereas it is applicable at all levels in Solvency II. Both banks & insurers must disclosure amounts and ...

... risk policies for credit risk, gross risk exposures, concentration of exposures, market risk capital requirements & operational risk methods must be done under Basel II ...