The study looked at stock market risk in Brazil and Mexico using a method called Extreme Value Theory (EVT). This method helps predict extreme losses in the stock market by analyzing unusual fluctuations. The researchers found that traditional risk models often underestimate potential losses because they assume normal market behavior. By using EVT, they were able to get more accurate estimates of risk in these emerging markets. The results showed that both Brazil and Mexico have fat tails in their stock market returns, meaning there are more extreme events than expected. EVT-based models provided more precise and reliable information about financial risk compared to traditional methods.