In this paper, the market risk measurement models and liquidity adjusted value at risk models (L_VaR) are merged. Monte Carlo Value at Risk and Monte Carlo Simulation Expected Shortfall (ES) Model are used to calculate conventional market risk value. The results are combined with L_VaR to see the effectiveness of liquidity risk modeling. The L_VaR is calculated by 5 different methods: Constant Spread Approach, Exogenous Spread Approach, Endogenous-Price Approach, Volume Adjusted L_VaR and Implied Volatility Adjusted L_VaR. The first three models are stated in the literature whereas the volume adjusted and the implied volatility adjusted models are the proposed ones. Arcelik, Bimas, Eregli Demir Celik, Halk Bankasi, Kardemir, Sise Cam Fabrikalari, Tofas Oto Fabrikalari and Ulker are the securities and USD/TRL, EUR/TL and EUR/USD are the currency pairs used in modeling. Daily prices for the period 2011 and 2014 are used for the calculations.