Abstract The correct management of the market risk has become a central point of interest for the banking institutions, taking into consideration the magnitude of the effects generated by the recent financial crisis. Due to a set of unexpected shocks on the market (increasing exchange rates, increasing interest rates, reducing financial securities listing) associated with high market volatility, managers need information in advance in order to assess the impact of these shocks upon banking performance. A statistical method used for quantifying market risk is VaR. The Basel Committee recommends VaR and Stress Tests, as main instruments used to provide the necessary capital for covering these types of risks. The main purpose of this article is to analyze and evaluate the impact of the possible losses of the trading portfolio of a bank by using a wide spectrum of econometric instruments as the GARCH models and EVT.