Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. In this study, we compare the out-of-sample forecasting performance of several modern Valueat-Risk (VaR) estimators derived from extreme value theory (EVT). Specifically, in a multiasset study covering 30 years of stock, bond, commodity and currency market data, we analyse the accuracy of the classic generalised Pareto peak over threshold approach and three recently proposed methods based on the Box-Cox transformation, L-moment estimation and the Johnson system of distributions. We find that, in their unconditional form, some of the estimators are acceptable under current regulatory assessment rules but none of them can continuously pass more advanced tests of forecasting accuracy. In their conditional forms, forecasting power is significantly increased and the Box-Cox method proves to be the most promising estimator. However, it is also important to stress that the traditional historical simulation approach, which is currently the most frequently used VaR estimator in commercial banks, can not only keep up with the EVT-based methods but occasionally even outperforms them (depending on the setting: unconditional vs. conditional). Thus, recent claims to generally replace this simple method by theoretically more advanced EVT-based methods may be premature. Terms of use: Documents inJEL-Codes: G100, G110, G170.