TY - THES A1 - Halder, Juan Nicolás T1 - Measuring Bitcoin Market Risk N2 - The digital currency Bitcoin offers investors high returns and a low correlation with other asset classes. However, Bit- coin's unusually high volatility raises doubt about its eligibility for investors. The objective of this thesis is to ascertain, if the market risk of Bitcoin can be adequately forecasted with the prevalent risk measures Value-at-Risk and Expected Shortfall. To this end, an empirical analysis is performed, which applies commonly used techniques of risk modeling on seven years of Bitcoin return data. Forecasts for VaR and ES are backtested and the results compared with those of other asset classes. The empirical results show, that although Bitcoin's fore- casts perform significantly worse than those of other asset classes, risk models with conditional volatility are able to estimate re- liable VaR and ES for Bitcoin. Other findings incluce the inef- fectiveness of historical simulation models and the importance of the assumed distribution of returns. Y1 - 2018 UR - https://opus4.kobv.de/opus4-hwr/frontdoor/index/index/docId/1169 UR - https://nbn-resolving.org/urn:nbn:de:kobv:b721-opus4-11691 ER -