Abstarct: Capital markets are one of the main pillars of any country’s economy. One of the active capital markets in any country is the country’s stock exchange . Today, due to the importance and special place of the stock market, many investors are willing to invest in this market. What is important to investors in financial markets and stock markets is risk management and control. Therefore, risk managers are always looking to optimize and quantify financial market risk. What matters in the financial markets and the stock market are the factors that influence this market. Due to the expansion of the financial markets and the relation between these markets, it has caused the fluctuations and shocks of one market to affect the other financial markets. For this reason, older models cannot accurately calculate market risk. Mathematicians and researchers are using new models called the extreme value theory, copula and Garch, to measure financial market and stock market risk.