Title: A statistical risk assessment of bitcoin and its extreme tail behaviour
Authors : Osterrieder, Jörg
Lorenz, Julian
Published in : Annals of Financial Economics
Volume(Issue) : 12
Issue : 1
Publisher / Ed. Institution : World Scientific Publishing
Issue Date: 2017
License (according to publishing contract) : Licence according to publishing contract
Type of review: Peer review (publication)
Language : English
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
DOI : 10.1142/S2010495217500038
ISSN: 2010-4952
URI: https://digitalcollection.zhaw.ch/handle/11475/15945
Appears in Collections:Publikationen School of Engineering

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