뱅 카드 게임 generalized Pareto distribution (GPD) approach for estimating 뱅 카드 게임 Value-at-Risk(VaR) and 뱅 카드 게임 expected shortfall (ES) is compared to o뱅 카드 게임r methods for evaluating extremerisk with normally distributed returns. When 뱅 카드 게임 market index returns have a fat-taileddistribution, 뱅 카드 게임 risk measures computed from 뱅 카드 게임 normal distribution underestimate 뱅 카드 게임tail-related risk. We also compare 뱅 카드 게임 computation results of 뱅 카드 게임 VaR based on 뱅 카드 게임 GPDapproximations to those based on 뱅 카드 게임 RiskMetrics methodology and GARCH modelestimation. 뱅 카드 게임 estimates of 뱅 카드 게임 VaR are robust to a variety of threshold values. Contrary tothis, 뱅 카드 게임 VaR values based on 뱅 카드 게임 RiskMetrics methodology and 뱅 카드 게임 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 뱅 카드 게임 GPD method for measuringunconditional market risk is more appropriate for measuring and managing 뱅 카드 게임 tail-relatedrisk.