英文标题：
《Value-at-Risk and Expected Shortfall for the major digital currencies》
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作者：
Stavros Stavroyiannis
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最新提交年份：
2017
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英文摘要：
Digital currencies and cryptocurrencies have hesitantly started to penetrate the investors, and the next step will be the regulatory risk management framework. We examine the Value-at-Risk and Expected Shortfall properties for the major digital currencies, Bitcoin, Ethereum, Litecoin, and Ripple. The methodology used is GARCH modelling followed by Filtered Historical Simulation. We find that digital currencies are subject to a higher risk, therefore, to higher sufficient buffer and risk capital to cover potential losses.
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中文摘要：
数字货币和加密货币已经犹豫地开始渗透到投资者手中，下一步将是监管风险管理框架。我们研究了主要数字货币比特币、以太坊、Litecoin和Ripple的风险价值和预期短缺属性。使用的方法是GARCH建模，然后进行过滤历史模拟。我们发现，数字货币面临更高的风险，因此需要更高的缓冲和风险资本来弥补潜在损失。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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