  This paper discusses the value-at-risk (VaR) concept and assesses the
financial adequacy of the price probability determined by frequency of trades
at price p. We take the price definition as the ratio of executed trade value
to volume and show that it leads to price statistical moments, which differ
from those, generated by frequency price probability. We derive the price n th
statistical moments as ratio of n th statistical moments of the value and the
volume of executed transactions. We state that the price probability determined
by frequency of trades at price p does not describe probability of executed
trade prices and VaR based on frequency price probability may be origin for
unexpected and excessive losses. We explain the need to replace frequency price
probability by frequency probabilities of the value and the volume of executed
transactions and derive price characteristic function. After 50 years of the
VaR usage main problems of the VaR concept are still open. We believe that VaR
commitment to forecast the price probability for the time horizon T seems to be
one of the most tough and expensive puzzle of modern finance.
