The value at risk (VaR) measures the risk of loss associated to financial assets. For a given time period (normally ranging from 1 to 10 days), and with a given probability confidence (generally equal to 95% or 99%); this measure represents the maximum loss the investor can suffer when holding financial assets. The time horizon used to calculate the VaR depends on the investment duration; the value at risk is used to compute the minimum capital requirements necessary to compensate losses resulting from market risk, according to the BIS banking regulation. Value at risk (VaR) measures the risk of loss associated to financial assets. For a given time period (normally ranging from 1 to 10 days), and with a given probability level (generally equal to 95% or 99%), this measure represents the maximum loss the investor can suffer when holding financial assets. This loss derives from a model implementation, and reflects the interaction of a number of factors assumed correlated one with the other. The time horizon chosen to calculate VaR is in accordance with the investment duration or with the minimum time length needed to disinvest in case of loss. The VaR is used also, and perhaps mostly, to determine the minimum capital requirements necessary to compensate for losses resulting from market risk. This measure ap1 Melania MICHETTI, Researcher at the Centro Euro-Mediterraneo per i Cambiamenti Climatici – CMCC.