Abnormal markets and trading were excluded from the VaR estimate in order to make it observable . It is not always possible to define loss if , for example , markets are closed as after 9/11 , or severely illiquid , as happened several times in 2008 . Losses can also be hard to define if the risk-bearing institution fails or breaks up . A measure that depends on traders taking certain actions , and avoiding other actions , can lead to self reference
9/11
September 11 attacks
Value at risk