FRM真題是對(duì)歷年FRM考試的習(xí)題的總結(jié)，對(duì)于備考的考生來(lái)說(shuō)有一定的作用的。尤其是在備考的后期，考生需要做大量的習(xí)題。下面是小編列舉的，希望對(duì)備考的你有所幫助！

Each of the following is true about the foundation/advanced internal ratings-based (IRB) approach to credit risk in Basel II and Basel III, except:

A) The risk weight function estimates a 99.9% confidence one-year horizon credit value-at-risk (CVaR)

B) The capital charge intends to cover unexpected losses (UL) and not expected losses (EL) with UL= VaR（1year,99.9%）–EL》

C) The risk weight function includes PD, EL, EAD, LGD and asset correlations but does not include a maturity (M) adjustment

D) Asset (default) correlations are included in the risk weight function but cannot be specified by the bank’s own internal estimates (in either FIRB orAIRB)

答案：C

解析：The risk-weight function does indeed include a effective maturity adjustment (M) that is equal to a generic 2.5 years in FIRB and which is defined for each facility inAIRB. In general, longer maturities imply higher charges. In regard to (A), (B), and (D), all are TRUE.

FRM考試的內(nèi)容就分享這么多，考生如果對(duì)FRM考試還有更多的疑問(wèn)，可以文章評(píng)論一起學(xué)習(xí)探討！另外，有2022年全年備考日歷，想要的私信或者評(píng)論哦！