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Unless otherwise defined, the heat map is a VaR back-testing measure for the soundness of the VaR measure. For example, it may be allowed to have 4 VaR breaches, where the static P&L is greater than the VaR, for the past 250 business days, and any breaches with a total number not more than 4 are said to be in the green zone, while 5 to 9 breaches are in ...

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