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Based on Basel II rules for backtesting, a penalty is given to banks that have more than four exceptions to their 1-day 99% VaR over the course of 250 trading days. The supervisor gives these penalties based on four criteria. Which of the following causes of exceptions is most likely to lead to a penalty?
A
The bank increases its intraday trading activity.
B
A large move in interest rates was combined with a small move in correlations.
C
The bank's model calculates interest rate risk based on the median duration of the bonds in the portfolio.
D
A sudden market crisis in an emerging market leads to losses in the equity positions in that country.