Value-at-Risk and Expected Shortfall under Extreme Value Theory Framework: An Empirical Study on Asian Markets Suluck Pattarathammas, DBA (Finance)** Assistant Professor and Director Master of Science Program in Finance, Faculty of Commerce and Accountancy Thammasat University, Bangkok 10200, Thailand suluckp@tu.ac.th Sutee Mokkhavesa, Ph.D. Risk Management Department, Muang Thai Life Assurance Co.Ltd. Bangkok 10320, Thailand sutee_m@muangthai.co.th and Pratabjai Nilla-Or Master of Science Program in Finance, Faculty of Commerce and Accountancy Thammasat University, Bangkok 10200, Thailand mookiespj@gmail.com June 2008 **Corresponding author