Value at risk was calculated on the GAP between loans and deposits of the banks of the Azerbaijan banking system with 95% of confidence level and holding periods for 10 days. The average interest rates of loans were taken as risk factor in calculating of VAR. In statistics analysis, it was defined that, exchange rate of US dollars against Azerbaijan man at which is one of the market risk factors don't follow the normal distribution. Calculation of VAR of these banks wasn’t possible by reason of the very risk factor. However, it was defined that, the average interest rate of the loans follow the normal distribution and this risk factor can be used in calculating of VAR. Normal distribution was substantiated by χ^2 test statistics.