Every trading desk closes the day by collapsing thousands of positions into one figure: Value-at-Risk (VaR). A 1-day 99% VaR of £40m means that on 99 days out of 100 the desk should lose less than £40m; roughly two or three days a year it should lose more. VaR is a *quantile* of the profit-and-loss distribution, not a worst case. It answers "how bad is a bad day?" and deliberately says nothing about how bad the worst days are.