The paper aimed at the heavy tailed characteristic of the RMB exchange rate sequence,based on the EGARCH model to get the standard rate of return sequence, established a GPD model to fit the tail of the normalized yield sequence, and got the corresponding estimation of VAR. The results showed that the sequence of RMB returns had the characteristic of bilateral heavy tail. Thus, for the investors of RMB exchange rate, they would face a greater risk of their own and counterparty whether to do long or short.