This paper investigates the relationship between the loss of banks' risk and its capital provision. The paper concludes that banks' asset-liability management(ALM) must be subjected to the restriction of capital at risk((CaR),)and banks' CaR should keep higher level than its' unexpected loss. The paper employes the framework of VaR to analysize the CaR restriction condition of banks' ALM and optimization, and provids a operational method for the dimension and control of risk.