In the search for balance and stability in the financial system, Basel II proposes advanced methods to measure operational risk that can be developed by the entities involved and adjusted to the requirements of the regulator. These methodologies allow such entities to estimate losses due to operating risk more objectively, however loss calculation models are generally focus on higher frequency but less value events from the body of the distribution. Nevertheless, it is also important to consider less frequent but high impact events, this is extreme events whose distribution must be analyzed separately with specific models. Among the methods used to calculate unexpected losses due to operational risk are TVE Extreme Value Theory and Copula Theory. Both, Extreme Value Theory and Copula Theory model distributions simulate the behavior of extreme data, however, copulas theory adds a fundamental element that makes reference to the dependence between variables, which in the case of the operational risk would be important to consider since losses are analyzed by types of events in each business line.