The study assesses Value at Risk (VaR) methods with respect to their efficiency and consistency in selected banks of the Nigeria Stock Market. The daily data on share prices of each bank was used from 2006 to 2018. The Value at Risk of each bank was estimated and the predictive performance of each method was assessed using the Failure Ratio and the Confidence Interval. The quality of each method was assessed based on the efficiency and consistency of the estimates. The VaR of each bank was estimated using Historical Simulation, Kernel Estimator, Empirical Estimator and Weighted Mean methods. The weighted mean method had the least estimates while Kernel estimator method had the highest estimates. The Failure Ratio and Confidence Interval show that Historical and Empirical methods had the least number of rejections at both confidence levels. The efficiency and consistency of the various methods shows the Historical Simulation and Weighted mean method had the minimum mean square errors (MSE). The Banks A, D and E gives an efficient and consistent result with Historical Simulation while B and C, is more efficient and consistent with weighted mean method.