Benito Muela, Sonia; López Martín, Carmen; Arguedas … - In: European Research on Management and Business Economics … 23 (2017) 3, pp. 157-164
The last global financial crisis (2007–2008) has highlighted the weaknesses of value at risk (VaR) as ameasure of market risk, as this metric by itself does not take liquidity risk into account. To address this problem, the academic literature has proposed incorporating liquidity risk into...
