Related papers: Quantifying Crypto Portfolio Risk: A Simulation-Ba…
The cryptocurrency market is volatile, non-stationary and non-continuous. Together with liquid derivatives markets, this poses a unique opportunity to study risk management, especially the hedging of options, in a turbulent market. We study…
Common asset holdings are widely believed to have been the primary vector of contagion in the recent financial crisis. We develop a network approach to the amplification of financial contagion due to the combination of overlapping…
Since its conception, the cryptocurrency market has been frequently described as an immature market, characterized by significant swings in volatility and occasionally described as lacking rhyme or reason. There has been great speculation…
Despite being described as a medium of exchange, cryptocurrencies do not have the typical attributes of a medium of exchange. Consequently, cryptocurrencies are more appropriately described as crypto assets. A common investment attribute…
The paper analyzes the cryptocurrency ecosystem at both the aggregate and individual levels to understand the factors that impact future volatility. The study uses high-frequency panel data from 2020 to 2022 to examine the relationship…
Analytical, free of time consuming Monte Carlo simulations, framework for credit portfolio systematic risk metrics calculations is presented. Techniques are described that allow calculation of portfolio-level systematic risk measures…
Analytical, free of time consuming Monte Carlo simulations, framework for credit portfolio systematic risk metrics calculations is presented. Techniques are described that allow calculation of portfolio-level systematic risk measures…
Recent empirical evidence has highlighted the crucial role of jumps in both price and volatility within the cryptocurrency market. In this paper, we integrate price--volatility co-jumps and volatility short-term dependency into a coherent…
We consider the problem of constructing a portfolio that combines traditional financial assets with crypto assets. We show that despite the documented attributes of crypto assets, such as high volatility, heavy tails, excess kurtosis, and…
In modern times, the cryptocurrency market is one of the world's most rapidly rising financial markets. The cryptocurrency market is regarded to be more volatile and illiquid than traditional markets such as equities, foreign exchange, and…
We develop a liquidity-sensitive multivariate volatility framework to improve the estimation of time-varying covariance structures under market frictions. We introduce two novel portfolio-level liquidity measures, liquidity jump and…
This paper conducts an extensive analysis of Bitcoin return series, with a primary focus on three volatility metrics: historical volatility (calculated as the sample standard deviation), forecasted volatility (derived from GARCH-type…
This paper investigates the dynamics of risk transmission in cryptocurrency markets and proposes a novel framework for volatility forecasting. The framework uncovers two key empirical facts: the asymmetric amplification of volatility…
We present a Monte Carlo simulation framework for analysing the risk involved in deploying real-time control systems in safety-critical applications, as well as an algorithm design technique allowing one (in certain situations) to robustify…
Cryptocurrency markets are highly volatile and influenced by both price trends and market sentiment, making effective portfolio management challenging. This paper proposes a dynamic cryptocurrency portfolio strategy that integrates…
Stablecoins are one of the most widely capitalized type of cryptocurrency. However, their risks vary significantly according to their design and are often poorly understood. We seek to provide a sound foundation for stablecoin theory, with…
The rapidly evolving cryptocurrency market presents unique challenges for investment due to its inherent volatility and evolving regulatory environment. Collective price movements can be exploited to construct diversified portfolios with…
Modern Portfolio Theory (MPT) prescribes how to maximise the return of an asset portfolio for a given level of risk. The optimal trade-off between return and variance defines the efficient frontier. Whether actual cryptoasset portfolios…
A cryptocurrency is a digital asset maintained by a decentralised system using cryptography. Investors in this emerging digital market are exploring the profitability potential of portfolios in place of single coins. Portfolios are…
Shorting for hedging exposes to risk when the market dynamics is uncertain. Managing uncertainty and risk exposure is key in portfolio management practice. This paper develops a robust framework for dynamic minimum-variance hedging that…