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Generalized Pareto distributions (GPD) are widely used for modeling excesses over high thresholds (within the framework of the POT-approach to modeling extremes). The aim of the paper is to give the review of the classical techniques for estimating GPD quantiles, and to apply these methods in finance - to estimate the Value-at-Risk (VaR) parameter, and discuss certain difficulties related to this subject.[Acknowledgments. This work is supported by the Ministry of Education and Science of the Republic of Serbia, Grant nos. 174012 and TR34007

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suggesting that selection in early generations for these traits will be effective. By testing the coefficients of regression interallelic interaction was not determined.

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