This paper aims is to examine and verify the appropriateness and usefulness in practical use of models for calculating VaR. It presents a case study applied to a theoretical bank portfolio in order to the identification and protection against market risk, while determining capital requirements. An emphasis will be placed on the advantages and limitations of these models. Using several models for calculating VaR, we can find which ones are more accurate, more truthful, and if the differences between them are some considerable. Therefore, according to these differences, the bank can decide which model fits best with their risk profile and should be used in risk management.