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For measuring risk, we use the value at risk (VaR) measure and the expected shortfall (ES) measure. The study has been done for a large set of assets. The results obtained indicate that the quantification of the market risk through the VaR and ES measures does not depend on the threshold selected. This result is also found in a smaller sample.engtechnical reporthttps://www.ucm.es/icaeopen accessG19G29Extreme Value TheoryPeaks over ThresholdValue at RiskExpected ShortfallGeneralized Pareto Distribution.Econometría (Economía)Mercados bursátiles y financieros5302 Econometría