Participants In the Financial Markets Are Prone to Carried Kinds of Financial Risks Such As Credit Risk, Operational Risk, Liquidity Risk, Systemic Risk Etc. It Is Most Prudent on Part of Such Financial Institutions and Market Regulators to Continually Monitor Risk, So That Counter Risk Management Strategies Can Be Devised and Implemented. For some Years Now the Concept Of, Value at Risk Has Gained Currency and Has Been Adopted As One of the Standard Measures of Financial Risk Measurement and Analysis. This Concept Has the Advantage of Quantifying Risk In Single Number Which Makes It Highly Appealing and It Approximate the Highest Expected Loss In Given Time Interval and Desired Confidence Level. This Paper Intends to Highlight the Importance of the Value at Risk Concept and Then How Risk Management Has Assimilated the Same In Contemporary Risk Management Practices and Organizational Paradigm.