The article examines how Pareto distributions can describe financial returns in different markets and their correlation with stock market indices. Daily data from 41 countries between 1995 and 2005 was analyzed. The study found that Pareto distributions are suitable for describing financial returns, and a log linear regression method can estimate their parameters effectively. There is a significant relationship between extreme distributional characteristics like Value at Risk and Expected Shortfall, and observed returns, especially in developed countries.