In Extreme Value Theory (EVT), what tail parameter values corresponds to the normal distribution? What is the typical value for financial data and what does it imply for the thickness of the tails? Is EVT an ideal solution for distributions that have extreme events not reflected in historical data? We observe 1000 days of stock returns and fit an EVT distribution to the 50 losses greater than 2 percent. The parameters are ξ=0.2 and β=0.6. Estimate the 99 percent VAR.