This paper analyzes Value at Risk (VaR) and Expected Shortfall (ES) calculation methods in terms of bias and dispersion against benchmarks computed from a fat-tailed parametric distribution. The daily log returns of the Nikkei-225 stock index are modeled by a truncated stable distribution. The...

The currency crisis in the 1997 diversified views on Asian economies. In one view, the ever-expanding image of Asian economies faded away, resulting in a view that Asia could never regain the power to achieve sustainable strong economic growth. In another view, Asia is still believed to continue...

This paper endeavours to provide a comprehensive analysis of the nature and the possible importance of “global excess liquidityâ€, a concept which has attracted considerable attention in recent years. The contribution of this paper is threefold. First, we present some conceptual...