Open access
Aug 2026
Risk measurement models for top 10 cryptocurrencies: A comparison of VaR and volatility models
It is demonstrated that cryptocurrency risk measurement requires asset-specific model selection based on both estimated loss magnitude and formal backtesting evidence, and substantial heterogeneity in cryptocurrency risk is revealed.
Dwi Fitrizal Salim, Farida TitikKristanti, Hosam Alden Riyadh et al.
· Investment Management & Fina... · 0 citations