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Value‐at‐Risk (VaR) has become a mainstream risk management technique employed by a large proportion of financial institutions. There exists a substantial amount of research dealing with this task, most commonly referred to as VaR backtesting. A new generation of “self‐learning” VaR models (Conditional Autoregressive Value‐at‐Risk or CAViaR) combine backtesting results with ex ante VaR estimates in an ARIMA framework in order to forecast P/L distributions more accurately. In this commentary, the authors present a systematic overview of several classes of applied statistical techniques that can make VaR backtesting more comprehensive and provide valuable insights into the analytical properties of VaR models in various market environments. In addition, they discuss the challenges associated with extending traditional backtesting approaches for VaR horizons longer than one day and propose solutions to this important problem.