Expected Shortfall via Filtered Historical Simulation for Bitcoin and Ethereum
7 Pages Posted: 1 May 2018
Date Written: April 14, 2018
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 Bitcoin and Ethereum, using GARCH methodology and filtered historical simulation. We find the both Bitcoin and Ethereum are subject to a higher risk, therefore, to higher sufficient buffer and risk capital to cover potential losses.
Keywords: Bitcoin, Ethereum, Filtered Historical Simulation, Expected Shortfall, Value-at-Risk
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