In the context of the Basel framework, banks are required to adhere to specific regulatory standards for capital adequacy and risk management. Value-at-Risk (VaR) is a key risk measure used in this framework to estimate the potential loss in value of a portfolio over a defined period for a given confidence interval. Specifically, banks calculate the 1-day VaR at the 99% confidence level, meaning there is a 1% chance that the actual loss on any given day will exceed the VaR estimate.

Considering a history of 250 trading days, explain the most likely reason why a bank would face a penalty for recording more than four instances where their actual losses surpassed the 1-day 99% VaR threshold.