DAY 95% VAR. AFTER FOUR WEEKS, THE NEW VAR MODEL HAS NO EXCEEDANCES...
1-day 95% VaR. After four weeks, the new VaR model has no exceedances despite consistently estimating VaR to
be considerably lower than the existing model's estimates. The analyst argues that the lack of exceedances shows
that the new model is unbiased and pressures the bank’s model evaluation team to agree. Following an overnight
examination of the new model by one junior analyst instead of the customary evaluation that takes several weeks
and involves a senior member of the team, the model evaluation team agrees to accept the new model for use by
the desk.