This paper proposes a set of models which can be used to estimate the market risk for a portfolio of crypto …-currencies, and simultaneously to estimate also their credit risk using the Zero Price Probability (ZPP) model by Fantazzini et al …-form formulas in case of normally distributed errors are also developed using recent results from barrier option theory. A …

risk by computing their probability of death. We employed different definitions of dead coins, ranging from academic …

In this paper, we analyzed a dataset of over 2000 crypto-assets to assess their credit risk by computing their …

in multivariate modelling and risk management. Some open questions related to multivariate discrete models that were …

platforms and tokens. However, the issue of credit risk and the reliability of crypto exchanges remain critical, highlighting …

, and transaction efficiency. This paper contributes to the existing literature by estimating the credit risk associated …

Rating transition models are widely used for credit risk evaluation. It is not uncommon that a time-homogeneous Markov …

-value theory for exchange rate determination and on the strong co-movement displayed by some commodity prices. The Chilean economy …

increases of the variance risk-premium, and possess a statistically significant forecasting power for future volatility and …