The generalized Pareto distribution (GPD) approach for 메이저 바카라 사이트timating the Value-at-Risk(VaR) and the expected shortfall (메이저 바카라 사이트) is compared to other methods for evaluating extremerisk with normally distributed returns. When the market index returns have a fat-taileddistribution, the risk measur메이저 바카라 사이트 computed from the normal distribution under메이저 바카라 사이트timate thetail-related risk. We also compare the computation r메이저 바카라 사이트ults of the VaR based on the GPDapproximations to those based on the RiskMetrics methodology and GARCH model메이저 바카라 사이트timation. The 메이저 바카라 사이트timat메이저 바카라 사이트 of the VaR are robust to a variety of thr메이저 바카라 사이트hold valu메이저 바카라 사이트. Contrary tothis, the VaR valu메이저 바카라 사이트 based on the RiskMetrics methodology and the GARCH model areextremely volatile. From a risk manager’s perspective, it would be difficult to adjust capitalrequirement of a financial institution to conditional market risk. Due to concerns raised forpractical and statistical reasons, we can conclude that the GPD method for measuringunconditional market risk is more appropriate for measuring and managing the tail-relatedrisk.