Historic market volatility has made risk management decisions by firms in the agricultural supply chain more challenging. Market risk measurement methods, such as Value-at-Risk, were developed in the financial industry to objectively measure, and thus better comprehend, market risk's effect on positions. This thesis gives a thorough background of the issues involved with risk measurement. Different scenarios were then used to demonstrate how the risk measurement method can be applied to the agricultural processing margin. In this thesis, the flour milling margin was used to demonstrate how a firm can incorporate sophisticated risk analytics into its risk management decision making process. Multiple scenarios were developed to account for different situations faced by flour millers. Ocean freight, exchange rate risk, futures price risk, basis risk and flour price risk are all included to provide examples of how market risk measurement can be beneficial to industry participants.