VaR techniques are important for managing market risk in financial assets since the 2008 crisis. They help measure and prevent potential losses from asset price changes and negative tail co-movements in bearish markets. VaR models focus on downside risk and provide results in monetary terms. However, in turbulent times, traditional VaR models may not consider nonlinear dependence between assets and can be inefficient in illiquid markets. Precise estimation of market liquidity risk remains a challenge for financial institutions.