Abstract: VaR，as a new model for risk measurement and management since 1990s，is easy to operate and hence is more practical compared with traditional models.This paper attempts to apply VaR in risk measurement of oil futures investment，calculating the value at risk by using Monte Carlo simulation.The result shows that VaR is a practical quantitative measurement of risk and is worth promoting in the field of risk control of oil derivatives products.

Key words: value at risk, oil futures, Monte Carlo simulation