The purpose of this seminar is to give the participants a good understanding of how to measure and use "Value-at-Risk" (VaR) in risk management. We will start with a general discussion of the role of VaR in modern Risk Management, explaining why this measure is becoming ever more important in today's fast moving financial markets. We will also give a thorough overview of the recent regulatory initiatives for using VaR for capital adequacy purposes. We will then turn to an in-depth explanation of how to measure VaR. We will begin with basic linear assets such as stocks and bonds, and continue by explaining how VaR can be calculated for complex portfolios using analytic (variance/co-variance) as well as historical and Monte Carlo simulation approaches. We will also show how VaR calculations can be speeded up using a sophisticated principal components approach. Next, we will explain how volatilities/correlations are extrapolated from historical data using mathematical/statistical techniques such as GARCH and EWMA, or how they can be backed out from option prices, etc. We will also explain how VaR measures can be adjusted to account for "fat tails". Moreover, we will explain how the risk of losses following extreme events can be quantified through "Stress Testing" and "Extreme VaR" measures. We will also present the "Major Pitfalls in Using VaR". Finally, we will explain how an effective, integrated real-time risk management system can be built around VaR methodology, demonstrating how VaR can be used defensively in setting and controlling limits as well as more pro-actively in the active allocation of risk capital among business units.