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The purpose of this paper is to focus on the performance of three alternative value‐at‐risk (VaR) models to provide suitable estimates for measuring and forecasting market risk. The data sample consists of five international developed and emerging stock market indices over the time period from 2004 to 2008. The main research question is related to the performance of widely‐accepted and simplified approaches to estimate VaR before and after the financial crisis.

VaR is estimated using daily data from the UK (FTSE 100), Germany (DAX30), the USA (S&P500), Turkey (ISE National 100) and Greece (GRAGENL). Methods adopted to calculate VaR are: EWMA of Riskmetrics; classic GARCH(1,1) model of conditional variance assuming a conditional normally distributed returns; and asymmetric GARCH with skewed Student‐t distributed standardized innovations.

The paper provides evidence that the tools of quantitative finance may achieve their objective. The results indicate that the widely accepted and simplified ARCH framework seems to provide satisfactory forecasts of VaR, not only for the pre‐2008 period of the financial crisis but also for the period of high volatility of stock market returns. Thus, the blame for financial crisis should not be cast upon quantitative techniques, used to measure and forecast market risk, alone.

Knowledge of modern risk management techniques is required to resolve the next financial crisis. The next crisis can be avoided only when financial risk managers acquire the necessary quantitative skills to measure uncertainty and understand risk.

The main contribution of this paper is that it provides evidence that widely accepted/used methods give reliable VaR estimates and forecasts for periods of financial turbulence (financial crises).

Employee benefits represent a large proportion of operational costs in most sectors, but discussions of their outcomes have been inconclusive. The purpose of this paper is to decipher the effects of employee benefits on organizational commitment in a changing and largely uncertain environment.

Three repeated large-scale surveys in Greece during the recent recession are used (2012, 2013 and 2015, total n=3,498).

A new taxonomy of employee benefits based on employees’ subjective utility evaluations is developed and applied. Availability of benefits and changes in the allocation policies of benefits are found to significantly but not powerfully influence organizational commitment. The setting in which this exchange is realized is critical for the relationships developed.

The study is conducted in a single country during the recession and trough phases of the business cycle and employee benefit allocation is measured with employee perceptions. Future research is called to couple present findings with international research at diverse phases of the business cycle and objective or company-provided measures of employee benefits.

Employers are advised to draft long-term employee benefit strategies, avoid frequent adjustments and provide multiple types of employee benefits, to increase affective organizational commitment.

This is the first time employee benefits are treated as a whole, and effects of their allocation and of changes in their allocation are explored at the employee level.