The search result changed since you submitted your search request. Documents might be displayed in a different sort order.
  • search hit 1 of 47
Back to Result List

Measuring Bitcoin Market Risk

  • 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.

Download full text files

  • Halder,Juan_Nicolas_MA_2017.pdf
    eng

    verfügbar innerhalb des Netzes der HWR Berlin

Export metadata

Additional Services

Share in Twitter Search Google Scholar Statistics
Metadaten
Author:Juan Nicolás Halder
URN:urn:nbn:de:kobv:b721-opus4-11691
Referee:Ursula Walther
Advisor:Salmai Qari
Document Type:Master's Thesis
Language:English
Date of first Publication:2018/12/04
Publishing Institution:Hochschulbibliothek HWR Berlin
Granting Institution:Hochschule für Wirtschaft und Recht Berlin
Date of final exam:2017/02/06
Release Date:2018/12/04
Page Number:74
Institutes:FB I - Wirtschaftswissenschaften / International Finance M.Sc.
Licence (German):License LogoUrheberrechtsschutz