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VaR

A collection of 3 issues

Value-at-Risk and Expected Shortfall Modeling for Cryptocurrency Portfolios: Stress Testing, Tail Risk Management, and Capital Allocation Best Practices

Introduction The explosive growth of digital assets has created new opportunities and new risks for investors, trading desks, and treasury departments. Traditional risk metrics like Value-at-Risk (VaR) and Expected Shortfall (ES, also called Conditional VaR or CVaR) remain the cornerstone of market-risk measurement, but they must be adapted to the

Cryptocurrency Value-at-Risk and Expected Shortfall: Tail Risk Measurement, Stress Testing Techniques, and Capital Allocation Best Practices

Why Tail Risk Matters in Cryptocurrency Portfolios Cryptocurrency markets are notorious for double-digit daily swings, overnight liquidity gaps, and exchange outages. Traditional volatility metrics paint only part of the picture; what keeps risk managers awake at night is the chance of extreme losses lurking in the tail of the return

Cryptocurrency Value-at-Risk (VaR) Modeling: Historical, Parametric, and Monte Carlo Approaches for Robust Portfolio Risk Assessment

Introduction: Why Value-at-Risk Matters in the Crypto Era The explosive growth of Bitcoin, Ethereum, and thousands of alternative digital assets has redefined the landscape of modern investing. Yet the same decentralized architecture and 24/7 trading that attract investors also create exceptional volatility. Traditional equity portfolios may see daily swings