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. RBC (Risk-Based Capital) 1990. 1996, 2000 2009. Solvency Solvency II 2016.
300 290 280 270 260 Demand Fundtion 0.01 0.1 1 10 Price 250 240 230 220 210 200 0 50 100 150 200 250 300 350 400 450 500 Demand Quantity
max
max max max max
max ln ln
exp
Deadweight Loss 90 80 70 60 50 40 30 0.05% 0.1% 0.3% 0.5% 1% 20 10 0-1 -0.5 0 0.5 1 Bias
0.8 0.7 0.6 Default Ratio(%) 0.5 0.4 0.3 0.2 0.1 0-1 -0.5 0 0.5 1 Bias
1200 Deadweight Loss 1000 800 600 400 100% 60% 0% -30% -60% 200 0 0 1 2 3 4 5 Default Ratio(%)
1.11 x 104 (a)consumber Surplus(level) 4 (b)consumber Surplus (Change relative to no regulation) 1.1 1.09 1.08 1.07 1.06 1.05 1.04 100% 60% 0% -30% -60% Change(%) 2 0-2 -4-6 100% 60% 0% -30% -60% 1.03 No Reg 95 97.5 99 99.5 99.9 99.99 Confidence Level(%) -8 95 97.5 99 99.5 99.9 99.99 Confidence Level(%)
Cummins et al.(1993).
20 15 10 5 (a)deadweight Loss(level) 100% 60% 0% -30% -60% Change(%) 20 0-20 -40-60 -80 (b)deadweight Loss (Change relative to no regulation) 100% 60% 0% -30% -60% 0 No Reg 95 97.5 99 99.5 99.9 99.99 Confidence Level(%) -100 95 97.5 99 99.5 99.9 99.99 Confidence Level(%)
6% 5% 4% 3% 2% 1% (a)default Probability(level) 100% 60% 0% -30% -60% Change(%p) -1% -2% -3% -4% -5% (b)default Probability (Change relative to no regulation) 100% 60% 0% -30% -60% No Reg 95 97.5 99 99.5 99.9 99.99 Confidence Level(%) -6% 95 97.5 99 99.5 99.9 99.99 Confidence Level(%)
0.06 0.05 0.04 (a)default Probability 100% 60% 0% -30% -60% 8 x 10-3 7 6 5 (b)default Ratio 100% 60% 0% -30% -60% 0.03 4 0.02 3 2 0.01 1 0 No Reg 95 97.5 99 99.5 99.9 99.99 Confidence Level(%) 0 No Reg 95 97.5 99 99.5 99.9 99.99 Confidence Level(%) lim
278 276 274 272 (a)price(level) 100% 60% 0% -30% -60% Change(%) 3.5 3 2.5 2 1.5 1 (b)price (Change relative to no regulation) 100% 60% 0% -30% -60% 270 0.5 0 268 No Reg 95 97.5 99 99.5 99.9 99.99 Confidence Level(%) -0.5 95 97.5 99 99.5 99.9 99.99 Confidence Level(%)
2 tau bias = 60% 5 tau bias = -60% 0 Change(%) -2-4 -6 4% 4.5% 5% 5.5% 6% Change(%) 0 4% 4.5% 5% 5.5% 6% -8 95 97.5 99 99.5 99.9 99.99 Confidence Leve(%) -5 95 97.5 99 99.5 99.9 99.99 Confidence Leve(%)
1 Asset Standard Deviation bias = 60% 4 Asset Standard Deviation bias = -60% 0 3-1 2 Change(%) -2-3 -4-5 -6 4% 4.5% 5% 5.5% 6% Change(%) 1 0-1 -2-3 4% 4.5% 5% 5.5% 6% -7 95 97.5 99 99.5 99.9 99.99 Confidence Leve(%) -4 95 97.5 99 99.5 99.9 99.99 Confidence Leve(%) 2 Lability Standard Deviation bias = 60% 5 Lability Standard Deviation bias = -60% 0-2 Change(%) -4-6 -8 16% 18% 20% 22% 24% Change(%) 0 16% 18% 20% 22% 24% -10 95 97.5 99 99.5 99.9 99.99 Confidence Leve(%) -5 95 97.5 99 99.5 99.9 99.99 Confidence Leve(%) 1 Correlation bias = 60% 4 Correlation bias = -60% 0 3-1 2 Change(%) -2-3 -4-5 -20% -10% 0% 20% 10% Change(%) 1 0-1 -2-20% -10% 0% 20% 10% -6-3 -7 95 97.5 99 99.5 99.9 99.99 Confidence Leve(%) -4 95 97.5 99 99.5 99.9 99.99 Confidence Leve(%) 2 fp bias = 60% 8 fp bias = -60% 0 6 Change(%) -2-4 -6 0.012 0.0135 0.015 0.0165 0.018-8 95 97.5 99 99.5 99.9 99.99 Confidence Leve(%) Change(%) 4 2 0 0.012 0.0135 0.015-2 0.0165 0.018-4 95 97.5 99 99.5 99.9 99.99 Confidence Leve(%)
2 fd bias = 60% 8 fd bias = -60% 0 6 Change(%) -2-4 -6 11.2 12.6 14 15.4 16.8-8 95 97.5 99 99.5 99.9 99.99 Confidence Leve(%) Change(%) 4 2 11.2 0 12.6 14-2 15.4 16.8-4 95 97.5 99 99.5 99.9 99.99 Confidence Leve(%) 2 mu bias = 60% 8 mu bias = -60% 0 6 Change(%) -2-4 -6 160 180 200 220 240-8 95 97.5 99 99.5 99.9 99.99 Confidence Leve(%) Change(%) 4 2 0-2 160 180 200 220 240-4 95 97.5 99 99.5 99.9 99.99 Confidence Leve(%)
exp
± lim
Test 1 Test 2 Test 3 Test 4 Test 1 Test 2 Test 3 Test 4