Value at risk measures the maximal loss at a certain significance level over a certain time span. Often this figure is indicated in absolute values of total assets, but a percentage value is also seen.

The significance level (or 1 - confidence level) depends on our attitude towards risk. The more risk we can bear, the higher this value. The Basel II accord demands banks to calculate VAR at the 1% significance level (i.e. 99% confidence level).

The time span or risk horizon should match our exposure to the assets in trading days. The Basel II accord demands banks to calculate VAR for a 10 days horizon. The more liquid an investment the shorter the risk horizon and vice versa. For extremely liquid positions like major currency pairs, VAR is calculated intra-day.

Good coverage of this subject in these books: Jorion, Value at Risk and Alexander, Value-at-Risk Models.