  In this paper, we consider the nonconvex minimization problem of the
value-at-risk (VaR) that arises from financial risk analysis. By considering
this problem as a special linear program with linear complementarity
constraints (a bilevel linear program to be more precise), we develop upper and
lower bounds for the minimum VaR and show how the combined bounding procedures
can be used to compute the latter value to global optimality. A numerical
example is provided to illustrate the methodology.
