Stanković, Jelena Z.; Petrović, Evica - In: Journal of contemporary economic and business issues 5 (2018) 1, pp. 5-23
measure as a measure of market risk. The lack of a liquidity parameter in methodologies used to compute VaR significantly … liquidity risk on market risk assessment, which is obtained by using VaR. The most frequently used technique for VaR estimation … results of this study indicate that the application of a liquidity constraint in the VaR model provides more accurate …
