Risk quantification and validation for Bitcoin

【Author】 Jimenez, Ines; Mora-Valencia, Andres; Perote, Javier

【Source】OPERATIONS RESEARCH LETTERS

【影响因子】1.151

【Abstract】This paper introduces a semi-nonparametric approach for modeling Bitcoin risk relatively to other parametric distributions and volatility models. Model performance is assessed through different backtesting techniques, including multinomial test, for three risk measures: Value-at-Risk, Expected Shortfall and Median Shortfall. Our results show that the 'large' semi-nonparametric expansion is a good alternative to measure Bitcoin risk according to recommendations of Basel Committee on Banking Supervision, but also that 99%-Median Shortfall seems to be an accurate and robust risk measure for Bitcoin. (C) 2020 Elsevier B.V. All rights reserved.

【Keywords】Cryptocurrencies; Gram-Charlier; Median shortfall; Backtesting; GAS models; Robust GARCH

【发表时间】2020 JUL

【收录时间】2022-01-02

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