The concept of value at risk (VaR) is a measure that is increasingly used for estimation of the maximum loss of financial position at a given time for a given probability. The aim of this manuscript is to show the most recent approaches for quantifying market risk. In particular, the manuscript investigates whether extreme value theory outperforms econometric calculation of VaR in emerging stock markets such as Montenegrin market. The paper is motivated by the desire that necessary attention is given to risks in Montenegro. Daily return of highly volatile stock EPCG (Elektroprivreda Crne Gore) from Montenegrin stock exchange is analysed for the period from January, 2004 – June, 2013. The sample of this structure and time dimension has not been discussed in empirical literature. Therefore, it is necessary to use the experience of the developed world's financial institutions which have studious approach to risk management, as well as the latest theoretical knowledge.