Título
Risk quantification and validation for Bitcoin
Autor(es)
Palabras clave
Cryptocurrencies
Gram-Charlier
Median shortfall
Bacltesting
GAS models
Robust GARCH
Clasificación UNESCO
Fecha de publicación
2020-06
Editor
Elsevier
Citación
Jiménez, I., Mora-Valencia, A., & Perote, J. (2020). Risk quantification and validation for Bitcoin. Operations Research Letters, 48(4), 534-541. https://doi.org/10.1016/J.ORL.2020.06.004
Resumen
[EN] 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.
URI
ISSN
0167-6377
DOI
10.1016/j.orl.2020.06.004
Versión del editor
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