Q.4006 Dyer and Blair Investment bank has an active position in commodity futures and is using the peaks-over-threshold (POT) approach (EVT) to estimate value at risk (VaR) and expected shortfall (ES) in accordance with extreme value theory. After careful consideration, the firm's risk managers have settled on a threshold level of 5.00% to evaluate excess losses. This choice of the threshold is informed by the realization that 3.0% of the observations are in excess of this threshold value. As displayed below, empirical analysis suggests the two other distributional parameters: scale, $\beta = 0.70$; and shape (aka, tail index), $\xi = 0.25$.

Parameter	Value
Loss threshold, u	5.00%
No. of observations, N	700
No. of observations that exceed threshold, N(u)	21
N(u)/N	3.00%
Scale, $\beta$	0.70
Shape, aka, tail, $\xi$	0.25

Determine the VaR at the 99% confidence level.