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Value at Risk (VaR) and Conditional Value at Risk (CVaR) have become the most popular measures of market risk in Financial and Insurance fields. However, the estimation of both risk measures is challenging, because it requires the knowledge of the tail of the distribution. Therefore, tools from Extreme Value Theory are usually employed, considering that the tail data follow a Generalized Pareto distribution (GPD). Using the existing relations from the parameters of the baseline distribution and the limit GPD's parameters, we define highly informative priors that incorporate all the information available for the whole set of observations. We show how to perform Metropolis-Hastings (MH) algorithm to estimate VaR and CVaR employing the highly informative priors, in the case of exponential, stable and Gamma distributions. Afterwards, we perform a thorough simulation study to compare the accuracy and precision provided by three different methods. Finally, data from a real example is analyzed to show the practical application of the methods.

R is a language and environment for statistical computing and graphics, which provides a wide variety of statistical tools (modeling, statistical testing, time series analysis, classification problems, machine learning, ...), together with amazing graphical techniques and the great advantage that it is highly extensible. Nowadays, there is no doubt that it is the software par excellence in statistical courses for any level, for theoretical and applied subjects alike. Besides, it has become an almost essential tool for every research work that involves any kind of analysis or data visualization. Furthermore, it is one of the most employed programming languages for general purposes. The goal of this work is helping to share ideas and resources to improve teaching and/or research using the statistical software R. We will cover its benefits, show how to get started and where to locate specific resources, and will make interesting recommendations for using R, according to our experience. For the classroom we will develop a curricular and assessment infrastructure to support both dissemination and evaluation, while for research we will offer a broader approach to quantitative studies that provides an excellent support for work in science and technology.