Aktas, Cihan; Cortuk, Orcan; Teker, Suat; Yildirim, … - In: Journal of applied finance & banking 2 (2012) 5, pp. 137-147
Due to its known weaknesses Value at Risk (VaR) has been modified to have a better market risk measurement model. 2007-2008 global financial crisis has increased the necessity to incorporate market liquidity into widely used models. This is to raise the required regulatory capital for trading...
