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Paper / 2023SMQ / 209812473033866
Assessing the Solvency of Virtual Asset Service Providers: Are Current Standards Sufficient?
Bernhard Haslhofer / Burkhard Raunig / Esther Segalla / Felix Zangerl / Michael Sigmund / Pietro Saggese
cryptocurrenciesResource overview

Assessing the Solvency of Virtual Asset Service Providers: Are Current Standards Sufficient?

Paper2023

by Bernhard Haslhofer, Burkhard Raunig, Esther Segalla, Felix Zangerl, Michael Sigmund, Pietro Saggese

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cryptocurrencies

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Suggested foundations for risk measurement and stress. Specialist prerequisites vary by paper.

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  1. Random Variables and Distributions

    Represent losses as a distribution rather than one forecast.

  2. Expected Shortfall and Other Tail Risk Measures

    Distinguish a loss quantile from the average loss in the tail.

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  1. VaR Estimation in Practice: Variance-Covariance, Historical Simulation, Monte Carlo

    Compare risk estimators and their assumptions.

  2. Backtesting VaR and ES: Coverage Tests and Model Validation

    Check forecasts against realised losses.

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