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FRM真题是指近几年的FRM考试的例题，是FRM考试的重难点地方，因此建议考生在考前能够进行至少三套真题的练习，并对真题的知识点进行总结，帮助自己进行提升！下面是小编列举的FRM真题，希望对你有所帮助！

Each of the following is true about the internal ratings-based (IRB) approaches to credit risk under Basel III, except which is false?》》》戳：免·费领取FRM各科视频讲义+历年真题+21年原版书（PDF版）

A) In both approaches (FIRB and AIRB) each debt is assigned a probability of default (PD) according to the bank’s internal rating system

B) In both approaches (FIRB and AIRB) the goal is to compute a credit risk charge that supports unexpected credit losses at a 99.9% confidence level over a one-year horizon

C) In both approaches (FIRB and AIRB) the credit risk function is a multi-factor(APT) model which does not assume the credit portfolio is diversified【资料下载】[融跃财经]FRM一级ya题-pdf版

D) In foundation internal ratings-based (IRB) approach, default probability (PD) is assigned by the bank’s internal model; but exposure at default (EAD) is based on credit conversion factors (CCF), LGD is set to either 45% or 75%,and residual maturity is generally fixed at 2.5 years

答案：C

解析：The supervisor’s duties as Dart of the supervisory review process include: Check compliance with Pillars I and III of Basel II Accord. Which would include credit risk mitigation and transparency requirements. Review internal control systems. Access internal capital management methods employed by the bank. So I and II are correct. Note that the foundation IRB approach. The bank provides its estimates for PD but uses supervisory estimates for LGD and EAD for corporate loans. So III is incorrect. Also, the impact of interest rate risk on the bank’s capital position must be accessed by determining the impact of a 200 basis Point shock or its equivalent. So IV is also correct. Therefore, the correct answer for this question is choice C. 》》》想参加融跃FRM培训班点我咨询

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