### 金融代写|量化风险管理代写Quantitative Risk Management代考| Successive Criticisms

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• Statistical Inference 统计推断
• Statistical Computing 统计计算
• (Generalized) Linear Models 广义线性模型
• Statistical Machine Learning 统计机器学习
• Longitudinal Data Analysis 纵向数据分析
• Foundations of Data Science 数据科学基础

## 金融代写|量化风险管理代写Quantitative Risk Management代考|Solvency II Directives

EU insurance legislation aims to unify a single EU insurance market and enhance consumer protection. The third-generation Insurance Directives established an “EU passport” (i.e. a single licence, similar to the financial passport banks need to operate in the European Union) for insurers to operate in all member states if EU conditions are met. Several member states concluded the EU minima were not sufficient, and enhance the requirements with their own reforms, which unfortunately led to differing regulations, hampering the harmonisation goal.

Since the initial Solvency I Directive 73/239/EEC was introduced in 1973 , more elaborate risk management systems developed. While the “Solvency $\Gamma$ ” Directive aimed at revising and updating the current EU Solvency regime, Solvency II has a much wider scope. The Solvency II Directive (2009/138/EC (Eling et al. 2007)) is a Directive in European Union law that codifies and harmonises EU insurance regulations. This directive primary concerns the amount of capital that EU insurance companies must hold to reduce the risk of insolvency. Following an EU Parliament vote on the Omnibus II Directive on 11 March 2014, Solvency II came into effect on 1 January 2016. Solvency II reflects new risk management practices to define required capital and manage risk. A solvency capital requirement has the following purposes:

• To reduce the risk that an insurer would be unable to meet claims;
• To reduce the losses suffered by policyholders in the event that a firm is unable to meet all claims fully;
• To provide early warning to supervisors so that they can intervene promptly if capital falls below the required level; and
• To promote confidence in the financial stability of the insurance sector
Solvency II is somewhat similar to the banking regulations of Basel II. For example, the proposed Solvency II framework has three main areas (pillars):
• Pillar 1 consists of the quantitative requirements (for example, the amount of capital an insurer should hold).
• Pillar 2 sets out requirements for the governance and risk management of insurers, as well as for the effective supervision of insurers.
• Pillar 3 focuses on disclosure and transparency requirements.
The pillar 1 framework sets out qualitative and quantitative requirements for calculation of technical provisions and solvency capital requirement (SCR) using either a standard formula given by the regulators or an internal model developed by the (re)insurance company. Technical provisions comprise two components: the best estimate of the liabilities (i.e. the central actuarial estimate) plus a risk margin. Technical provisions are intended to represent the current amount the (re)insurance company would have to pay for an immediate transfer of its obligations to a third party.

## 金融代写|量化风险管理代写Quantitative Risk Management代考|Credit Risk

Credit risk is the risk that counterparties default on their obligations, i.e., the risk that a debtor cannot fulfill his repayment obligations. Credit events include the loss of the principal, the default on interest, some cash flows disruption, or cost escalation. The losses related to credit events vary in amounts and causes. For example, a company which fails to pay one of its employees on the due date for special reason is mechanically considered as default. Therefore, the occurrence of a credit event is not necessarily an evidence of the risk of the investment. In order to limit the risk of losing the money lent to borrowers, sovereigns, companies, etc., a bank undertakes various verifications and evaluates the potential loss engendered by potential credit events.
Losses can arise in a number of circumstances, for example:

• A consumer fails to make a payment on a mortgage loan, a credit card, or any other loan.
• A company is unable to repay asset-secured fixed or floating charge debt.
• A company does not pay one of its invoices when due.
• A government bond issuer does not make a payment on a coupon or principal payment when due.
• An insolvent insurance company does not pay a policy obligation.
• A bank becoming insolvent will not pay back funds to a depositor.
• Bankruptcy protection to an insolvent consumer or business is granted by a government (Chapter 11 of Title 11 of the United States Bankruptcy Code).
It is noteworthy to mention that these may happen due to the materialisation of natural, economical, and human risks.

Credit risk arises when borrowers are unable to pay back their debt either willingly or unwillingly. Therefore, as mentioned before, to reduce the lender’s credit risk exposure, lenders usually perform a credit check on the prospective borrower, besides may require borrowers to take out the appropriate insurance, such as mortgage insurance, or may seek security over some assets of the borrower or a guarantee from a third party. The lender can also either securitise the debt or sell the created assets to other companies. In general, the higher the risk, the higher the interest rate associated with the debt. From a capital charge point of view the exposure is modelled and measured as described in the following.

## 金融代写|量化风险管理代写Quantitative Risk Management代考|Standardised Approach

The standardised approach refers to a set of credit risk measurement techniques proposed under Basel II. Under this approach the banks are required to use ratings from External Credit Rating Agencies to quantify required capital for credit risk. The risk weights associated with these ratings are summarised below.Claims on retail products: This includes credit card, overdraft, auto loans, personal finance, and small business-Risk weight: 75

• Claims secured by residential property-Risk weight: $35 \%$
• Claims secured by commercial real estate-Risk weight: $100 \%$
• Overdue loans-more than 90 days other than residential mortgage loans-Risk weight:
• $150 \%$ for provisions that are less than $20 \%$ of the outstanding amount
• $100 \%$ for provisions that are between 20 and $49 \%$ of the outstanding amount
• $100 \%$ for provisions that are no less than $50 \%$ of the outstanding amount, but with supervisory discretion are reduced to $50 \%$ of the outstanding amount
• Other assets-Risk weight: $100 \%$
• Cash-Risk weight: $0 \%$

## 金融代写|量化风险管理代写Quantitative Risk Management代考|Solvency II Directives

• 降低保险公司无法满足索赔要求的风险；
• 在公司无法完全满足所有索赔要求的情况下，减少投保人遭受的损失；
• 向监管者提供预警，以便他们在资本低于规定水平时及时干预；和
• 为提高对保险业金融稳定性的信心，
Solvency II 与巴塞尔协议 II 的银行法规有些相似。例如，拟议的偿付能力 II 框架具有三个主要领域（支柱）：
• 支柱 1 包括数量要求（例如，保险公司应持有的资本金额）。
• 支柱 2 对保险公司的治理和风险管理以及对保险公司的有效监管提出了要求。
• 支柱 3 侧重于披露和透明度要求。
支柱 1 框架规定了使用监管机构给出的标准公式或（再）保险公司开发的内部模型计算技术准备金和偿付能力资本要求（SCR）的定性和定量要求。技术准备包括两个部分：负债的最佳估计（即中央精算估计）加上风险边际。技术条款旨在代表（再）保险公司为立即将其义务转移给第三方而必须支付的当前金额。

## 金融代写|量化风险管理代写Quantitative Risk Management代考|Credit Risk

• 消费者未能支付抵押贷款、信用卡或任何其他贷款。
• 公司无法偿还资产担保的固定或浮动抵押债务。
• 公司在到期时不支付其中一张发票。
• 政府债券发行人在到期时不支付息票或本金。
• 资不抵债的保险公司不支付保单义务。
• 资不抵债的银行将不会向存款人偿还资金。
• 政府为无力偿债的消费者或企业提供破产保护（《美国破产法》第 11 篇第 11 章）。
值得注意的是，这些可能是由于自然、经济和人类风险的具体化而发生的。

## 金融代写|量化风险管理代写Quantitative Risk Management代考|Standardised Approach

• 由住宅财产担保的索赔-风险权重：35%
• 商业地产担保的债权-风险权重：100%
• 逾期贷款 – 超过 90 天（住宅抵押贷款除外） – 风险权重：
• 150%对于低于20%未偿金额
• 100%对于介于 20 和49%未偿金额
• 100%对于不低于50%未偿金额，但具有监督酌处权的金额减少到50%未偿金额
• 其他资产-风险权重：100%
• 现金风险权重：0%

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