article I wrote on Value at Risk. I invite you to view it.
It's intended as a basic introduction to how one can calculate VaR using the Variance/Covariance (aka Correlation) method, which was championed by JP Morgan's RiskMetrics, meaning it's in fairly common use. Although we haven't done any research on this, I suspect that this approach is the most used of the three.
At our recent Performance Measurement Forum meeting in Orlando a colleague volunteered to write an article for The Journal of Performance Measurement where he'll provide a broad benefits / shortcomings assessment. We've seen some harshly critical reviews done of late, so a more objective review will be welcome.
I still remain skeptical of VaR's usefulness, but am open to hearing other perspectives. Hope you are, too!