Value-at-risk and expected shortfall in cryptocurrencies’ portfolio: a vine copula–based approach

By Carlos Trucíos, Aviral Kumar Tiwari, Faisal Alqahtani. Applied Economics, 2019

51 citations recorded by the source corpus.

ABSTRACT Risk management is an important and helpful process for investors, hedge funds, traders and market makers. One of its key points is the appropriate estimation of risk measures which can improve the investment decisions and trading strategies. The high volatility of cryptocurrencies turns them a really risky investment and consequently, appropriate risk measures estimation is extremely necessary. In this article, we deal with the estimation of two widely used risk measures such as Value-at-Risk and Expected Shortfall in a cryptocurrency context. To face the presence of outliers and the correlation between cryptocurrencies, we propose a methodology based on vine copulas and robust volatility models. Our procedure is illustrated in a seven-dimensional equal-weight cryptocurrency portfolio and displays good performance.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/0cd91a7e7300acd8e2bab5fc01578c11144053c6

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In Economics and Econometrics

  1. David Martínez-Rego
  2. Carmine Ventre
  3. Leslie Kanthan
  4. Lingbo Li
  5. Fan Wu
  6. Fan Fang
  7. H. Kong
  8. Michail Basios

In Finance

  1. David Martínez-Rego
  2. Carmine Ventre
  3. Leslie Kanthan
  4. Lingbo Li
  5. Fan Wu
  6. Fan Fang
  7. H. Kong
  8. Michail Basios

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