While the classical normality assumption is simple to implement, it is well known to underestimate the leptokurtic behaviour demonstrated in most financial data. After examining properties of the Johannesburg Stock Exchange Mining Index returns, we propose two extreme value models to fit its negative tail with a higher degree of accuracy. The generalised extreme value distribution (GEVD) is fitted using the block maxima approach, while the generalised Pareto distribution (GPD) is fitted using the peaks‐over‐threshold method. Numerical assessment of value‐at‐risk (VaR) estimates indicates that both GEVD and GPD increasingly outperform the normal distribution as we move further into the lower tail. In addition, GEVD produces lower estimates relative to that of the historical VaR, and GPD provides slightly more conservative estimates for adequate capitalisation.