For a large number of institutions VaR figures were key parameter in terms of their sensitivity to changes in market conditions. During deployment crisis, most banks have confirmed that their values are calculated VaR, as expected, meet regulatory requirements, but these standards in Due to the rapid drop in market liquidity does not reflect the real value of complex structured products and related variability market and credit risks, and therefore were unsuitable for identification of the risks, especially when they are based on consolidated basis. In addition, assumptions and specifications are based on the calculation of indicators VaR, their dependence on historical data have been insufficient to measure based on VaR could consider severe market shocks are not commensurate with the available historical experience.