This study applied extreme value theory (EVT) results to quantify the extreme downside risk and upside risk of the South African Financial Index (J580) in light of the Global financial instabilities. The main objective of the study was to apply the univariate EVT to model extreme market risk of the Financial Index (J580) logarithmic returns (years: 1995-2017) using the Generalized Pareto Distribution (GPD). EVT provides a theoretical foundation on which we can build statistical models describing extreme events and will help in the predictability of such future rare events. EVT captures the rare events which make it the most robust method of estimating risk measures such as Value at Risk (VaR) and Expected Shortfall (ES) by assessing tail related risk. The conclusion is that the upside risk of the Financial Index (J580) outweighs the downside risk.