Tail Risk in Cryptocurrencies

In this research, the returns of four cryptocurrencies (Bitcoin, Litecoin, Ripple and Ethereum) were analyzed in order to answer the following research question: “How do the returns of Bitcoin and other altcoins behave over time, and what can we say about extreme values for losses and profits?” With respect to volatility, cryptocurrencies can...

Intraday liquidity risk estimation using transaction data: an extreme value theory approach

Intraday liquidity risk is a subject that applies to all banks, and arises whenever there is a timing mismatch between incoming and outgoing payments within a business day. In case such a mismatch occurs, the bank is exposed to the risk that it is unable to meet its payment obligations at the time expected. A liquidity buffer could help to...