FRM真题练习，备考的你要多加练习！

FRM真题是对历年FRM考试的习题的总结，对于备考的考生来说有一定的作用的。尤其是在备考的后期，考生需要做大量的习题。下面是小编列举的，希望对备考的你有所帮助！

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考试的内容就分享这么多，考生如果对FRM考试还有更多的疑问，可以文章评论一起学习探讨！另外，有2022年全年备考日历，想要的私信或者评论哦！