The present invention provides a modular prosthetic valve device having two or more device modules for percutaneous delivery unassembled at or near the valve implantation site and assembly at least in part using a self-assembly member, and a system and method of folding, delivering and assembling the device. The device modules may include a support structure and a valve module. The valve module has an unassembled, folded delivery configuration, and an unfolded, assembled (via the self-assembly member) working configuration. The valve module may be a single-piece leaflets substructure or a plurality of valve sections. The self-assembly member has a delivery configuration and may be reverted to a preset configuration for valve module assembly. The unassembled valve module may be rolled along its circumferential axis towards its height to a folded diameter equivalent to one rolled leaflet, providing a percutaneous valve device having a smaller delivery diameter than pre-assembled valve devices.