A bank analyst has been assigned the responsibility of evaluating the effectiveness of the Value at Risk (VaR) model employed by the bank over the past year. In the course of this evaluation, it becomes apparent that the actual occurrences of VaR exceptions—instances where losses exceeded the VaR threshold—surpassed the number forecasted by the model. The analyst must then delve into the reasons behind this inconsistency and contemplate the potential consequences for the bank.