Section 9.10 discusses how statistics can be used to accept or reject a VaR model. Section 12.6 discusses guidelines for bank supervisors in setting the VaR multiplier mc. It explains that, if the number of exceptions in 250 trials Basel I, Basel II, and Solvency II 283 is five or more, then mc is increased. What is the chance of five or more exceptions if the VaR model is working well?

AppendixLO1