VaR vs ES: The Battle of Major Cryptocurrencies

Bernard Brenyah

Studenteropgave: Speciale

Abstrakt

Cryptocurrencies have been the subject of constant debates since the inception of the first cryptocurrency (Bitcoin) in 2009. The volatility of cryptocurrencies has recently attracted the attention of the public and researchers. The selection of these digital assets is based on an inclusion criterion of USD ($) 4 billion regarding market capitalisation during the period of the study. This thesis investigates investors’ exposures to cryptocurrency market risks by examining the risk properties of six of the major cryptocurrencies in current circulation; Bitcoin, Ethereum, Litecoin, Ripple, Monero, and Stellar. Filtered Historical Simulation with the help of GARCH modelling is used as the approach examining the risk properties. The results show that Litecoin and Bitcoin are least volatile cryptocurrencies relative to the other investigated assets. Stellar represents the riskiest cryptocurrency during the period reviewed.

UddannelserVirksomhedsledelse, (Bachelor/kandidatuddannelse) Kandidat
SprogEngelsk
Udgivelsesdato1 jun. 2018
Antal sider113
VejledereSlobodan Kacanski