Sökning: "Van Cao Thi Hong"
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1. Risk measurement of cryptocurrencies using value at risk and expected shortfall
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : 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
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