The exercise asked for a scene with strong contrast, I selected a detail from the Hypo-Haus that contained both the grey winter sky and areas of deep shade:
Although the contrast is not great the biggest issue in retrospect is the lack of colour in the image, however, I do not think this will affect my understanding of this exercise, I already have a good feeling for the issues associated with clipping. What I have done is to take 7 images each with a 1 step difference in exposure compensation from 3 over to 3 under. In Lightroom I have turned on the highlight and shadow clipping, red is blown highlights and blue lost shadow. Otherwise I have not processed the images in any other way:
Clearly the sky blows out first at +1, by +3 parts of the building have been lost. Going the other way significant loss does not happen until -3, the camera appears to handle underexposure better than over. There is no significant banding in the images, I do not really expect there to be, given that these are 14 bit RAW images. 8 bit JPG might make this issue visible, but that is one of the primary reasons why I never use JPG for any photography. There is also no visible colour fringing in these images, I have never seen that in any RAW image.
The final point of looking at colour saturation is not really viable with these nearly monochrome images. With other cases of blown highlights, or very bright images this can be an issue in the sky. With my older 20D's offering only 12 bit colour and poorer highlight handling colour banding in blue skies has been an issue. With the newer 7D (Used here) and the 5DII I have never had that problem, at least not so far.
Going back to the RAW images, I first tried the "recover" the +3 image and was quite surprised that there was sufficient detail remaining to redefine the edge of the building and yield some contrast to the sky.
Here is the original image, 3 stops overexposed:
and the recovered version, with adjustments to Recovery, Contrast, Exposure and Blacks. I am really quite amazed at what came back, although if there was colour in this imaging the noise would be bad by now.
Overall, one impression I take from this exercise is that in the time since the work book was produced Digital cameras have improved their ability to handle blown highlights and I suspect that another two generations will see substantial improvements, even to the point at which the performance of Digital might compare to Film.