Explanation:
The statement 'Model not calibrated to market conditions' is not one of the four major reasons for exceptions during backtesting as defined by the Basel Committee. The Basel Committee's guidelines for backtesting of VaR models do not specifically mention the calibration of the model.
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Q.2643 The Basel Committee has defined four major reasons for exceptions found during backtesting. These include all of the following, except:
A
Model not calibrated to market conditions
B
Model lacks basic integrity
C
Intraday trading
D
Bad luck
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