This paper examines “fat tails puzzle” in the financial markets. Ignoring the rate of convergence in Central Limit Theorem (CLT) provides the “fat tail” uncertainty. In this paper, we provide a review of the empirical results obtained “fat tails puzzle” using innovative method of...

In this paper we introduce a generalizable method to estimate daily risk decompositions of default, interest rate, liquidity and excess liquidity from previously simulated reduced form monthly risk decompositions. Our method generates these measures for CMBX. To assess liquidity estimates, we...

We present a simple model in which rational but uninformed traders occasionally chase noise as if it were information, thereby amplifying sentiment shocks and moving prices away from fundamental values. We fill a theoretical gap in the literature by showing conditions under which noise traders...