Price shows high volatility in the electricity market and the market participants face huge price risk, therefore, price risk measurement becomes more and more important in electricity market. In practice, value-at-risk (VaR), as a risk management technique, was widely used. This paper reviews the price risk measurement in electricity market based on VaR, which includes non-parametric, parametric and semi-parametric method. We put great emphasis on the analysis of parametric model based on GARCH and “Realized Volatility”, and semi-parametric model based on extreme value theory. Semi-parametric model combines the advantages of non-parametric and parameter method, improves the accuracy of the VaR calculation, while the determination of the threshold needs further study.