  This brief paper summarize the chances offered by the Peak-Over-Threshold
method, related with analysis of extremes. Identification of appropriate Value
at Risk can be solved by fitting data with a Generalized Pareto Distribution.
Also an estimation of value for the Expected Shortfall can be useful, and the
application of these few concepts are valid for the most wide range of risk
analysis, from the financial application to the operational risk assessment,
through the analysis for climate time series; resolving the problem of
borderline data.
