The article analyzes how Value at Risk (VaR) is used to estimate investment risk in banking stocks and create optimal portfolios during normal and crisis periods. The researchers found that the historical simulation method accurately estimates VaR in both market conditions. They formed two optimal portfolios using the Mean-VaR method: one for normal periods and one for crisis periods. The normal portfolio includes BBRI, BBCA, BNLI, BTPN, and BNBA, while the crisis portfolio consists of BNII and BNBA. These findings can help investors make decisions focusing on minimizing downside risk.