Value-at-risk (VaR) is a useful risk measure broadly used by financial institutions all over the world. VaR has been extensively used to measure systematic risk exposure in developed markets like of the US, Europe and Asia. This paper analyzes the accuracy of VaR measure for Pakistan's emerging...

Value-at-risk (VaR) has been extensively used to measure systematic risk exposure in developed markets, e.g., of the US, Europe and Asia. This paper analyzes the accuracy of VaR measure for Pakistan's emerging stock market using daily data of the Karachi Stock Exchange-100 index for the period...