This question might be silly, but I want to be sure of myself.
If one has Value-at-Risk forecasts and there are zero VaR breaches (i.e. no return value is smaller than or equal to the VaR value) then the risk is said to be overestimated right?
So in a time series we would get zero observations for which holds $$r_t\leq -VaR_t.$$
In this particular case, I guess the risk is said to be overestimated. Hope someone can confirm this and if this case is called underestimation I would like to hear the reason for why this case is called underestimation.