For market risk the VaR model is widely used as it is simple and its mathematics is tractable. VaR models have regulatory approval from the Basel Committee on Banking Supervision (BCBS) and therefore from national regulators. This model works on two primary assumptions. i.  Normality – that is, asset values are assumed to follow a normal distribution.
This is supposed to be an approximation to reality as indeed models are by definition abstractions from reality. However, in certain periods, particularly periods of high stress, the normality assumption is an unsustainable abstraction from reality. ii. VaR models are not causal but statistical in nature and, therefore, they use the past data to predict the asset values in future.