The risk analysis of major cryptocurrencies: Value-at-risk and Expected shortfall approaches
Purpose: The aim of this paper is to examine the Value-at-Risk (VaR) and Expected Shortfall (ES) of major selected cryptocurrencies through Historical simulation, parameter simulation, and Monte Carlo simulation, and compare with S&P500 Index. In addition, this paper also aims to provide some so...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2022
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| Online Access: | https://eprints.nottingham.ac.uk/67595/ |