B选项也错了吧

问题如下：

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:

选项：

A.

The risk weight function estimates a 99.9% confident 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 = CvaR – 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 or AIRB)

解释：

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 in AIRB. In general, longer maturities imply higher charges.

In regara to (A), (B), and (D), all are TRUE.