Tail Risk and Systemic Risk Estimation of Cryptocurrencies: an Expectiles and Marginal Expected Shortfall based approach

Andrea Teruzzi

Papers from arXiv.org

Abstract: The issue related to the quantification of the tail risk of cryptocurrencies is considered in this paper. The statistical methods used in the study are those concerning recent developments in Extreme Value Theory (EVT) for weakly dependent data. This research proposes an expectile-based approach for assessing the tail risk of dependent data. Expectile is a summary statistic that generalizes the concept of mean, as the quantile generalizes the concept of the median. We present the empirical findings for a dataset of cryptocurrencies. We propose a method for dynamically evaluating the level of the expectiles by estimating the level of the expectiles of the residuals of a heteroscedastic regression, such as a GARCH model. Finally, we introduce the Marginal Expected Shortfall (MES) as a tool for measuring the marginal impact of single assets on systemic shortfalls. In our case of interest, we are focused on the impact of a single cryptocurrency on the systemic risk of the whole cryptocurrency market. In particular, we present an expectile-based MES for dependent data.

Date: 2023-11
New Economics Papers: this item is included in nep-ecm, nep-pay and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2311.17239 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2311.17239

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().