Science and Education Publishing International Journal of Econometrics and Financial Management 2 5 2014 09 23 Risk Measurement in Commodities Markets Using Conditional Extreme Value Theory 188 205 EN Ahmed GHORBEL Business, Economics Statistics Modelling Laboratory (BESTMOD), Faculty of Economics and Management, Sfax-Tunisia Sameh SOUILMI IJEFM2014254 10.12691/ijefm-2-5-4 2014 08 02 2014 09 19 2014 09 23 The aim of this paper is to quantify risk in oil, gas natural and phosphates markets by the Value at Risk and Expected Shortfull using McNeil and Frey (2000) two-steps approach based on the combination of the theory of extreme values and the GARCH model. A comparison is made between this method and various conventional methods such as GARCH models, Filtered hsitoriacal simulation, unconditional EVT-POT and unconditional EVT Bloc. Particular attention is given to study the quality of VaR forecasts obtained from conditional EVT method. The results we report show that this method is the best one for quantile superior to 99%. In all other cases, it offer acceptable VaR's forecasts but not statistically better than GARCH methods.