We provide an extreme value analysis of the returns of Bitcoin. A particular focus is on the tail risk characteristics … the risk characteristics is of utmost importance. So for bitcoin to become a mainstream investable asset class, studying … risk management, financial engineering (such as bitcoin derivatives) - both from an investor's as well as from a regulator …

The paper develops a tail risk forecasting model that incorporates the wealth of economic and financial information … available to risk managers. The approach can be viewed as a regularized extension of the two-stage GARCH-EVT model of McNeil and … extreme value distribution of risk. We use a rich data set from the US equity market to explore when this additional …

must calculate the market risk capital requirements based on the Expected Shortfall (ES) measure, replacing the Value at … Risk (VaR) measure. In the financial literature, there are many papers dedicated to compare VaR approaches but there are … risk measure and loss functions. The results indicate that the method based on the conditional Extreme Value Theory (EVT …

, the integrated risk of group assets can be divided to hedging risk and independent risk, and the corresponding models are … given. So we could analyze the price risk of group assets in more particular way. The conclusions show that assets are … hedged in simple way of one to one can not eliminates completely their market risk in many cases. So there should be an …

downside risk and recognizes the heavytail feature of the asset return distributions. Then we show that optimal portfolio sizes …