论文标题
脆弱性库瓦：调查加密市场
Vulnerability-CoVaR: Investigating the Crypto-market
论文作者
论文摘要
本文提出了对流行的系统性风险措施（COVAR）有条件价值的重要扩展，并研究了其在加密货币市场上的特性。鉴于至少一个其他机构相等或低于其Var，拟议的脆弱性库瓦尔（VCOVAR）定义为金融系统或机构的价值（VAR）。 VCOVAR放松正态性假设，并通过copula估算。尽管详细介绍了该措施的重要理论发现，但实证研究分析了加密货币的不同困扰事件如何影响彼此的风险水平。结果表明，Litecoin对比特币的影响最大，并且如果其余市场参与者发生共同困扰事件，则每种加密货币都会显着影响。证明VCOVAR比其他Covar扩展效果更好地捕获多米诺骨牌效应。
This paper proposes an important extension to Conditional Value-at-Risk (CoVaR), the popular systemic risk measure, and investigates its properties on the cryptocurrency market. The proposed Vulnerability-CoVaR (VCoVaR) is defined as the Value-at-Risk (VaR) of a financial system or institution, given that at least one other institution is equal or below its VaR. The VCoVaR relaxes normality assumptions and is estimated via copula. While important theoretical findings of the measure are detailed, the empirical study analyzes how different distressing events of the cryptocurrencies impact the risk level of each other. The results show that Litecoin displays the largest impact on Bitcoin and that each cryptocurrency is significantly affected if an event of joint distress among the remaining market participants occurs. The VCoVaR is shown to capture domino effects better than other CoVaR extensions.
