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Market Risk Measurement and Management
Market Risk Measurement and Management
Medium
A bank backtests its 99% VaR model over 250 trading days and observes 8 exceptions. Under the Basel traffic light framework, this result falls in the:
A
Yellow zone (5-9 exceptions), triggering an increase in the capital multiplier
B
Green zone (0-4 exceptions), requiring no additional capital surcharge
C
Red zone (10+ exceptions), potentially triggering model rejection
D
Cannot be determined without the Kupiec test statistic
Select an answer to continue
Tags
#backtesting
#traffic-light
#basel
#var-exceptions
#capital-multiplier
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