Optimizing the market-risk of major cryptocurrencies using CVaR measure and copula simulation
Sign Up to like & getrecommendations! Published in 2021 at "Macroeconomics and Finance in Emerging Market Economies"
DOI: 10.1080/17520843.2021.1909828
Abstract: ABSTRACT In this paper, we utilize the conditional value-at-risk to quantify the risk exposure and the generalized Pareto distribution copula technique to analyse extreme events which helps in finding out the efficient portfolio selection. The… read more here.
Keywords: copula; risk; optimizing market; market risk ... See more keywords