The final paper entitled “VaR Portfolio Risk Assessment” describes and applies the use of three models for VaR (Value At Risk) via Microsoft Excel software. VaR is a statistical indicator that measures and quantifies the level of financial risk in investing, I.e. estimates the value of potential risk within a certain period of time and is one of the most commonly used indicators by investment and commercial banks. Given the reliability of quantitative data expressed in VaR, it is increasingly used in smaller companies in order to minimize risk, which results in the calculation techniques being significantly improved. This paper will describe in detail the principles of two linear and one non-linear model and aims to show the advantages and disadvantages of each. The first part of the paper explains concepts such as capital markets, shares and stock portfolios, in order to make the presentation of the procedure for calculating the risk of stock portfolios more understandable. The second part of the paper explains in detail the concepts of risk and the types of risks we encounter in the capital market. And at the end of the final paper, the methods and their implementation are presented with the help of MS Excel on examples.