Nowadays, the products traded in the financial market are presenting an increasing sophistication. Particularly, the growing importance of the derivatives increased, considerably, the complexity of the portfolios expanding the number of risk sources they are subject to. Taken aback by losses generally caused by high exposures to market risk, banks and institutions have been dedicating special attention to the improvement of risk management techniques. In this context, the development of techniques to evaluate the potential loss of a portfolio becomes essential. Surely, the so called value-at-risk, which resumes the likely potential loss of a position in a single number, is the most known technique. The origin, importance, identification and use of VaR will be demonstrated in this dissertation.