The FBX file contains all models with materials. There are no materials in the OBJ file, only geometry.
Who works in the V-Ray version lower than 3.1, be careful, in the materials in the BRDF section there is Microfaset GTR (GGX), if your version is older than 3.1, then the BRDF field will be empty. Choose Blinn, Phong or Ward - which is preferable for you.
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