Should VaR be thrown in the trash can?

No it should not. Event though the VaR model is based on a normal distribution and can only predict losses 99% of the time, it does not take into account that 1% that could be a fat tail on the distribution model that represents huge losses. Some blame the financial meltdown on these risk management tools and they say that they should be abandoned. Just because the financial meltdown occurred in that 1% of unknown risk, it does not mean that we cannot use this in the 99% of the other (normal) financial times. The financial meltdown did not happen because these risk management tools failed, but more because of a lack of proper management and Wall Street greed. Value at Risk models are far from perfect and they need to be adjusted from only taking past statistics into account to predict future risk, but they cannot simply be discarded, they just need to be refined to consider that 1% fat tail.

http://www.nytimes.com/2009/01/18/magazine/18letters-t-.html?scp=3&sq=value%20at%20risk&st=cse