FINANCIAL RISK METER FOR CRYPTOCURRENCIES AND TAIL RISK NETWORK-BASED PORTFOLIO CONSTRUCTION

【Author】 Ren, Rui; Althof, Michael; Haerdle, Wolfgang Karl

【Source】SINGAPORE ECONOMIC REVIEW

【影响因子】1.736

【Abstract】Cryptocurrencies have emerged as a new asset class. In order to provide a thorough understanding of this new asset class, we study the dependencies in tail risk events within cryptocurrencies, and provide a hedging alternative in this paper. First, we adopt the Financial Risk Meter approach for cryptocurrencies, which is able to identify individual risk characteristics and indicate systemic risk in a network topology. Next, we detect the interdependencies across digital coins and study the spillover effects. Finally, we construct tail event sensitive portfolios and test the performance versus traditional approaches from January 2019 to May 2022.

【Keywords】Cryptocurrencies; network dynamics; portfolio optimization; quantile regression; systemic risk; financial risk meter

【发表时间】

【收录时间】2022-09-22

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-数字货币