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This article determines the type of asymptotic distribution for the extreme changes in U.S. Treasury yields. The thintailed Gumbel and exponential distributions are strongly rejected against the fattailed Frechet and Pareto distributions. The empirical results indicate that the volatility of maximal and minimal changes in interest rates declines as timetomaturity rises, yielding a downwardsloping volatility curve for the extremes. The article proposes an extreme value approach to estimating value at risk and shows that the statistical theory of extremes provides a more accurate approach for risk management and value at risk (VaR) calculations than the standard models.