FRM真題是對歷年FRM考試的習題的總結,對于備考的考生來說有一定的作用的。尤其是在備考的后期,考生需要做大量的習題。下面是小編列舉的,希望對備考的你有所幫助!》》》2021年新版FRM一二級內(nèi)部資料免 費領??!【精華版】

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 》》》點我咨詢21年FRM備考技巧  

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【資料下載】[融躍財經(jīng)]FRM一級ya題-pdf版

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.

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