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On multivariate contribution measures of systemic risk with applications in cryptocurrency market
Junxue Li / Limin Wen / Tong Pu / Yiying Zhang
cryptocurrencies / systemic riskResource overview

On multivariate contribution measures of systemic risk with applications in cryptocurrency market

Paper2024

by Junxue Li, Limin Wen, Tong Pu, Yiying Zhang

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cryptocurrenciessystemic risk

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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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