Sökning: "Van Cao Thi Hong"

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  1. 1. Risk measurement of cryptocurrencies using value at risk and expected shortfall

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Van Cao Thi Hong; [2022]
    Nyckelord :cryptocurrencies; value at risk; expected shortfall; risk measurement; parametric methods; non-parametric methods; EWMA; GARCH; EGARCH; GJRGARCH; backtesting; Business and Economics;

    Sammanfattning : Cryptocurrencies are highly volatile and risky assets, therefore, it is of vital importance to find an appropriate model for risk measurement. This thesis compares three parametric and three non-parametric estimation methods to estimate the value at risk and the expected shortfall of five cryptocurrencies, namely Bitcoin (BTC), Ethereum (ETH), Binance coin (BNB), Ripple coin (XRP), and Cardano (ADA). LÄS MER