Before revision:  A serious deficiency of V@R is that firms can hide their total downside risk in corporate groups. They can largely reduce their total capital requirements via appropriate transfer agreements within a group structure consisting of sufficiently many entities and thereby circumvent capital regulation.
After revision:  A serious deficiency of V@R is that firms can hide their total downside risk in corporate networks, unless a consolidated solvency balance sheet is required for each economic scenario. In this case, they can largely reduce their total capital requirements via appropriate transfer agreements within a group structure consisting of sufficiently many entities and thereby circumvent capital regulation.