Value at Risk answers a single question: over the next day or ten days, how much could I lose, with a stated confidence such as ninety nine percent. A one day ninety nine percent VaR of one million means losses should exceed one million on only about one day in a hundred.
It is widely used but has known limits. It says nothing about how bad the tail beyond the threshold can be, which is why it is paired with stress testing and measures such as expected shortfall.
