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An analyst at a bank is asked to evaluate the efficacy of the VaR model that the bank used over the last year. While evaluating the model, the analyst finds that the bank experienced more VaR exceptions than were forecast by the bank's VaR model and examines both the reason this occurred and its potential impact on the bank. Which of the following is correct regarding the analyst's examination of the situation?
A
The confidence level of the backtest performed on the VaR model was set too low.
B
The model is most likely overestimating the market risk faced by the bank.
C
The risk-taking units of the bank will likely be allocated less capital than they should be.
D
The bank's regulator will impose a financial penalty on the bank.