Value at risk (VAR) is an important measure to assess the level of risk in financial markets which expresses the market risk in the form of a number. This paper addresses the risk assessment of futures contracts using the value-at-risk approach. Risk matrix, historical simulation, bootstrap historical simulation and Monte Carlo simulation have been used to assess the VAR. Kupiec test has also been used to examine the effectiveness of VAR assessment methods. The results of estimating the value at risk at 95% confidence level show that the Monte Carlo simulation method has the lowest value at risk estimation compared to other methods, and the historical simulation method has the lowest value at risk estimation at 99% confidence level compared to other methods. Furthermore, the results of Kupiec test show that all the VAR estimation methods are reliable, and the failure rate of the VAR estimations show that the Monte Carlo simulation model is more effective for estimating VAR at 95% confidence level than other methods. Moreover, historical simulation, bootstrap simulation and Monte Carlo simulation models are more effective for estimating VAR at 99% confidence level.
