Layers of protection analysis (LOPA) is an established tool for designing, characterizing, and evaluating risk in the chemical process industry. Value at risk (VaR) is a method first introduced in the financial sector for modeling potential loss in a complex venture. In this paper we demonstrate the application of VaR principles to the LOPA of an ethylene refrigeration compressor. We calculate the changes in risk profile (probability versus loss) associated with adding or removing different safety interlocks around the compressor. The VaR analysis shows that the benefits of a given layer of protection are not necessarily captured by a single average number, since the entire probability-value curve is affected. This type of analysis will aid in the allocation of limited resources to process risk interventions.