This work investigates the strength and the pattern of co-movement between the futures price of the Arabica coffee (traded in New York) and the futures price of the Robusta coffee (traded in London) and obtains forecasts for the Value-at-Risk (VaR) for a commercial trader. The empirical analysis relies of the statistical tool of copulas and on daily observations from 2006 to 2016. According to the empirical results, co-movement is symmetric with respect to sign but is asymmetric with respect to size. The Value-at-Risk ranges from -7 percent to -3 percent, depending on the level of confidence employed.