Value at Risk is exactly what is sounds like. "The value that is at risk." Say you have a $100,000 portfolio and the Value at risk or (VaR) is $5,000. This means in a time period the porfolio can go up or down by $5,000 (which is 5% of the portfolio by the way). Now lets assign a probability to that event. Lets say given statisically back-testing, we find that the probably is only 2%. Waaa Laaa A 2% Value at Risk means there is 2% probability that the portfolio will go up or down by $5,000.