I am a leading authority on value-at-risk (VaR), so I have plenty here to share on the topic:
Value-at-Risk Introduction
Value-at-risk is a probabilistic metric of market risk used to monitor risk in trading portfolios.
How To Calculate VaR – Step-by-Step
A detailed article on how to construct a VaR measure.
Value-at-Risk: Theory and Practice
The definitive book on VaR is available FREE online.