Value at risk is a measure of the market risk that indicates potential loss generated by security or portfolio in given period of time with the level of probability defined in advance. It is expressed by a single number and is valid only in normal circumstances. VaR emerged in 1980s but it is popular even nowdays being used by different investors as well as financial regulators. It has many advantages as well as couple of disadvantages so that it is considered neccessary but not an integral way of measuring market risk. There are three methods of 66 calculating VaR: the historical method, the variance-covariance method and the Monte Carlo simulation. This research was about comparing VaR of portfolios coming from Croatia's and German's capital markets respectively. The aim of the research was to determine the difference in market risk between those two countries while at the same time checking if there are differencies in results obtained by different computation methods, if methods are representative on each capital market and what is the ratio between yield and risk. The results of the research showed that an investor with portfolio of stocks from Croatia's capital market could have made more money while the VaR being lower. However, backtesting the results it became clear that VaR of portfolio of Croatia's stocks was undervalued predominantly due to the crisis in the biggest Croatian private company Agrokor which occurred in the late stage of the testing period and spilled over the whole market. Having in mind that VaR is valid only in normal circumstances all computation methods proved not to be representative on Croatian capital market which was not the case with German capital market. Hence, VaR is more applicable there. If the research is to be done only for year 2016 thus excluding the period of great turbulences in the Croatian capital market it will turn out that all computations methods are representative on Croatian capital market and that there is a chance to earn higher yield while the overall risk being lower which are the reasons that make this market more attractive for investors.