|Title:||A statistical risk assessment of bitcoin and its extreme tail behaviour|
|Authors :||Osterrieder, Jörg|
|Published in :||Annals of Financial Economics|
|Publisher / Ed. Institution :||World Scientific Publishing|
|License (according to publishing contract) :||Licence according to publishing contract|
|Type of review:||Peer review (publication)|
|Subjects :||Risk; Extreme; Currencies; Bitcoin|
|Subject (DDC) :||332.6: Investment|
|Abstract:||We provide an extreme value analysis of the returns of Bitcoin. A particular focus is on the tail risk characteristics and we will provide an in-depth univariate extreme value analysis. Those properties will be compared to the traditional exchange rates of the G10 currencies versus the US dollar. For investors - especially institutional ones - an understanding of the risk characteristics is of utmost importance. So for bitcoin to become a mainstream investable asset class, studying these properties is necessary. Our findings show that the bitcoin return distribution not only exhibits higher volatility than traditional G10 currencies, but also stronger non-normal characteristics and heavier tails. This has implications for risk management, financial engineering (such as bitcoin derivatives) - both from an investor's as well as from a regulator's point of view. To our knowledge, this is the first detailed study looking at the extreme value behaviour of the cryptocurrency Bitcoin.|
|Departement:||School of Engineering|
|Organisational Unit:||Institute of Data Analysis and Process Design (IDP)|
|Publication type:||Article in scientific journal|
|Appears in Collections:||Publikationen School of Engineering|
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