The Value at Risk approach (VaR) is more and more used as a tool for risk measurement. The approach however has … shortcomings both from a theoretical and a practical point of view. VaR can be classified within existing concepts of risk … measurement: it is particularly interpretable as a special measure of shortfall risk. From that point of view VaR will be extended …

This study examined how uncertainty and global risk affect financial markets in emerging economies, focusing on foreign … structural vector autoregression (VAR) models, the research found that increases in Economic Policy Uncertainty (EPU …, global risk, and market instability, offering insights for managing risks in opaque markets and improving financial stability. …