The risk analysis of major cryptocurrencies: Value-at-risk and Expected shortfall approaches

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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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Bibliographic Details
Main Author:	Fang, Jun
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2022
Online Access:	https://eprints.nottingham.ac.uk/67839/

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