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If a supervisory VAR backtest for a 1-year period (i.e., 250-day testing period) results in 6 exceptions, then the bank’s exposure would be classified as: A. Green zone, and an exposure multiplier of 0 would be applied. B. Yellow zone, and an exposure multiplier of 3 would be applied. C. Yellow zone, and an exposure multiplier between 3.4 and 3.85 would be applied. D. Red zone, and an exposure multiplier of 4 would be applied. |