Explanation

VaR Limitations:

1. Does not consider liquidity risk - VaR typically assumes that positions can be liquidated at current market prices, but in reality, large positions may be difficult to unwind without affecting prices.

2. Reliability can be verified - VaR models can be backtested against actual portfolio performance to verify their reliability, so Option B is incorrect.

3. Can be used for performance evaluation - VaR is commonly used in performance evaluation and risk-adjusted return measures, so Option C is incorrect.

Key limitation: VaR's assumption of normal market conditions and inability to account for liquidity constraints during market stress is a well-known limitation.