The choice of the distribution of asset returns: How extreme value theory can help?

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An application of extreme value theory to cryptocurrencies (2018, unknown): “Nevertheless, such assets display extreme price changes which violate the assumption of normality, and a major challenge of risk management is the appropriate selection of the distribution of asset returns (Longin, 2005).”
Developing a stress testing framework based on market risk models (2008, methodology): “We choose not to include EVT in the backtesting experiment that follows since excellent results are achieved using simpler, more accessible models.”
Extreme Value Theory for Finance: A Survey (2012, methodology): “An analogous conclusion is drawn by Longin (2005), who applies the method to logarithmic daily percentage returns on the S&P500 index for the period 1954-2003 and concludes that both the normal and the stable law hypotheses are rejected, while the Student t distribution and ARCH processes are not,…”