In this paper we propose using Value at Risk (VaR) for oil price risk quantification. VaR provides an estimation for the maximum oil price change associated with a likelihood level, and can be used for designing risk management strategies. We analyse three VaR calculation methods: the historical simulation standard approach, the historical simulation with ARMA forecasts (HSAF) approach, developed in this paper, and the variance–covariance method based on autoregressive conditional heteroskedasticity models forecasts. The results obtained indicate that HSAF methodology provides a flexible VaR quantification, which fits the continuous oil price movements well and provides an efficient risk quantification.