VAR has it's merits and it's shortfalls. The fact that NT has been bashing it does not make it a valid risk management approach. To me VaR is just a standard measurement, which is A. used for limiting the open position by each trader, each group of trader, and so on. B. a single number that goes out with quarterly earning report. As soon as one of your competitors publish VaR number in its earning report, you don't have any other choice. It is the term that Wall street analysts claim to understand