Tail Risk Measurement in Crypto-Asset Markets

17 Pages Posted: 20 Mar 2020

See all articles by Daniel Felix Ahelegbey

Daniel Felix Ahelegbey

University of Pavia, Department of Economics and Management; Boston University, Department of Mathematics & Statistics

Paolo Giudici

University of Pavia

Fatemeh Mojtahedi

Sari Agricultural Sciences and Natural Resources University

Date Written: March 18, 2020

Abstract

The paper examines the relationships among market assets during stressful times, using two recently proposed econometric modeling techniques for tail risk measurement: the extreme downside hedge (EDH) and the extreme downside correlation (EDC). We extend both measures taking into account the sensitivity of asset's return to innovations not only from the overall market index, but also from its components, by means of network modelling. Applying our proposal to the cryptocurrencies market, we find that crypto-assets can be clustered in two groups: speculative assets, such as Bitcoin, which are mainly "givers" of tail contagion; and technical assets, such as Ethereum, which are mainly "receivers" of contagion.

Keywords: Crypto-Assets, Extreme Downside Hedge, Extreme Downside Correlation, Network Models, Systematic Risk, Systemic Risk

JEL Classification: JEL: C31, C58, G01, G12

Suggested Citation

Ahelegbey, Daniel Felix and Giudici, Paolo and Mojtahedi, Fatemeh, Tail Risk Measurement in Crypto-Asset Markets (March 18, 2020). Available at SSRN: https://ssrn.com/abstract=3556854 or http://dx.doi.org/10.2139/ssrn.3556854

Daniel Felix Ahelegbey (Contact Author)

University of Pavia, Department of Economics and Management ( email )

Via San Felice 7
Pavia, Lombardia 27100
Italy
+393888931128 (Phone)

HOME PAGE: http://sites.google.com/site/danielfelixahey/home

Boston University, Department of Mathematics & Statistics ( email )

111 Cummington Mall
Boston, MA 02215
United States

Paolo Giudici

University of Pavia ( email )

Corso Strada Nuova, 65
27100 Pavia, 27100
Italy

Fatemeh Mojtahedi

Sari Agricultural Sciences and Natural Resources University ( email )

Km 9 Darya Road, P.O Box 576
Sari, Mazandaran 48181 6898
Iran

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