This chapter situates the development of quantitative finance with the development of financial regulation and internal risk management in financial institutions. Related to extreme events, we discuss the concept of “stress scenarios”, which complements the value-at-risk measure. We argue that, while models based on normality do their job of computing the VaR (associated with market shocks appearing every four years on average), extreme value theory adds value for designing “stress scenarios” (associated with extreme market shocks appearing every 20 or 50 years on average). Finally, we ask the question: what could EVT additionally bring to the party?