A way to estimate the downside risk is the value at risk (VaR) which indicates the highest possible loss in a portfolio of financial possessions in a special time horizon at a specified level of confidence and is a suitable measure for estimating the risk of financial asset and managing it. In the present study, common parametric and non-parametric methods of estimating the risk of financial assets are reviewed. Following that, a totally different parametric method named Cornish-Fisher (CF) estimate for estimation of VaR for financial fims listed on the Tehran Stock Exchange (Investment companies, Insurance companies, Leasing companies and banks) during 2010 to 2012 have been investigated. The findings of the current study indicate that this approximation has operated well for observations whose distribution has a small discrepancy with normal distribution. Using this approximate can lead to a more suitable risk management decisions.