Consider a hypothetical example in which the one-day VaR at a 99% confidence level is 20 million yen. It means the estimated probability that the one-day loss exceeds 20 million yen is 1%. On the other 99% of days, the loss stays within 20 million yen or there is a profit.
The sources call VaR the "maximum loss" (our translation), but VaR is not an upper limit on losses. VaR does not tell you the size of the losses larger than VaR that occur with a 1% probability. It can be calculated by the variance-covariance method, historical simulation, or the Monte Carlo method.