On Vulnerability Conditional Risk Measures: Comparisons and Applications in Cryptocurrency Market
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arXiv
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| Hauptverfasser: | , , |
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| Format: | Preprint |
| Veröffentlicht: |
2024
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| _version_ | 1866912119494017024 |
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| author | Pu, Tong Wei, Yunran Zhang, Yiying |
| author_facet | Pu, Tong Wei, Yunran Zhang, Yiying |
| contents | We introduce a novel class of systemic risk measures, the Vulnerability Conditional risk measures, which try to capture the "tail risk" of a risky position in scenarios where one or more market participants is experiencing financial distress. Various theoretical properties of Vulnerability Conditional risk measures, along with a series of related contribution measures, have been considered in this paper. We further introduce the backtesting procedures of VCoES and MCoES. Through numerical examples, we validate our theoretical insights and further apply our newly proposed risk measures to the empirical analysis of cryptocurrencies, demonstrating their practical relevance and utility in capturing systemic risk. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2411_09676 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | On Vulnerability Conditional Risk Measures: Comparisons and Applications in Cryptocurrency Market Pu, Tong Wei, Yunran Zhang, Yiying Risk Management We introduce a novel class of systemic risk measures, the Vulnerability Conditional risk measures, which try to capture the "tail risk" of a risky position in scenarios where one or more market participants is experiencing financial distress. Various theoretical properties of Vulnerability Conditional risk measures, along with a series of related contribution measures, have been considered in this paper. We further introduce the backtesting procedures of VCoES and MCoES. Through numerical examples, we validate our theoretical insights and further apply our newly proposed risk measures to the empirical analysis of cryptocurrencies, demonstrating their practical relevance and utility in capturing systemic risk. |
| title | On Vulnerability Conditional Risk Measures: Comparisons and Applications in Cryptocurrency Market |
| topic | Risk Management |
| url | https://arxiv.org/abs/2411.09676 |