Which of the following statements is incorrect about the foundation IRB and
the advanced IRB approaches for credit risk capital charge in the Basel II
A) Under the advanced IRB approach, banks are allowed to use their own
estimates of PD, LGD, EAD, and correlation coefficient, within the risk-weight
functions provided by the supervisors.
B) Under the foundation IRB approach, banks provide their own estimates of PD
and rely on supervisory estimates for other risk components.
C) Banks adopting the advanced IRB approach are expected to continue to
employ this approach. Avoluntary return to the standardized approach is
D) Under both foundation IRB and advanced IRB approaches, the expected loss
is not included in the credit risk capital charge.【资料下载】点击下载GARP官方FRM二级练习题
解析：Under the advanced IRB approach, banks are allowed to provide their own
estimate of PD, LGD, and EAD, but must use the correlation coefficient formula
specified by the supervisor.