# Historical VaR vs. EVT VaR

We can compute VaR using Historical data and also by Fitting the tails of my Historical data to a GPD(Generalized Pareto Distribution) as shown in EVT and then compute EVT VaR from there.

What advantages and dis advantages will each method hold over the other?

• Have you been able to find / perform any further analysis on this? Any good papers that compare the two approaches? Thanks – Confounded May 16 at 18:23

EVT can model the tail better but you are making a parametric assumption - so you need to say why you think GPD is suitable. So this gives a better estimate as long as the distributional assumption holds. If it doesn't really, than you commit (quite likely) a massive error.