Tail risk measurement in crypto-asset markets

被引：34
|
作者：
Ahelegbey, Daniel Felix [1 ]
Giudici, Paolo [1 ]
Mojtahedi, Fatemeh [2 ]
机构：
[1] Univ Pavia, Dept Econ & Management, Via San Felice 7, I-27100 Pavia, Italy
[2] Sari Agr Sci & Nat Resources Univ, Dept Agr Econ, Km 9,Farah Abad Rd,POB 576, Sari 481816898, Mazandaran Prov, Iran
来源：
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS | 2021年 / 73卷
关键词：
Crypto-assets; Extreme downside hedge; Extreme downside correlation; Network models; Systematic risk; Systemic risk; BAYESIAN GRAPHICAL MODELS; SYSTEMIC RISK; RARE DISASTERS; CONNECTEDNESS;
D O I：
10.1016/j.irfa.2020.101604
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
The paper examines the relationships among market assets during stressful times, using two recently proposed econometric modeling techniques for tail risk measurement: the extreme downside hedge (EDH) and the extreme downside correlation (EDC). We extend both measures taking into account the sensitivity of asset's return to innovations not only from the overall market index, but also from its components, by means of network modeling. Applying our proposal to the cryptocurrencies market, we find that crypto-assets can be clustered in two groups: speculative assets, such as Bitcoin, which are mainly "givers" of tail contagion; and technical assets, such as Ethereum, which are mainly "receivers" of contagion.
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页数：12
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