This article presents in simple terms the scope, objectives and limitations of the "Value at Risk" concept and measure, and rapidly examines some alternatives. The different possible "VaR" methods all have their advantages and drawbacks, so that they should be used in combinaison rather than by themselves, and complemented by stress testing and scenario analysis.
PONCET, P. (1998). Value at Risk. Bankers, Markets and Investors, pp. 50-55.