Value at Risk (VaR) continues to be addressed though it appears that in spite of its shortcomings, it isn’t going away. Therefore, we would recommend that you include an appropriate disclosure whenever you report it, so that the recipient is better informed. Merrill Lynch apparently has included the following:
The calculation of VaR requires numerous assumptions and thus VaR should not be viewed as a precise measure of risk. Rather, it should be evaluated in the context of known limitations. The limitations include but are not limited to the following: VaR measures do not convey the magnitude of extreme events; historical data that forms the basis of VaR may fail to predict content and future market volatility; and VaR does not fully reflect the effects of market illiquidity (the inability to sell or hedge a position over a relatively long period).
I think this is great wording; it would serve anyone who reports VaR quite well. If you’ve got a better example, please let me know!
(Source: Lecturing Birds on Flying. Pablo Triana. Page 145)