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Paper / 2022SMQ / 178270617528236
Comparative Performance of Cryptocurrencies through the Aumann and Serrano Economic Index of Riskiness
Jiro Hodoshima / Joseph Sheely / Roberto Serrano / Toshiyuki Yam awake
cryptocurrenciesResource overview

Comparative Performance of Cryptocurrencies through the Aumann and Serrano Economic Index of Riskiness

Paper2022

by Jiro Hodoshima, Joseph Sheely, Roberto Serrano, Toshiyuki Yam awake

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cryptocurrencies

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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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