The market capitalization of cryptocurrencies has risen rapidly during the last few years. Despite their high volatility, this fact has spurred growing interest in cryptocurrencies as an alternative investment asset for portfolio and risk management. We characterise the effects of adding...

Public interest, explosive returns, and diversification opportunities gave stimulus to the adoption of traditional financial tools to crypto-currencies. While the CRIX index offered the first scientifically-backed proxy to the crypto- market (analogous to S&P 500), the introduction of Bitcoin...

The cryptocurrency market is unique on many levels: Very volatile, frequently changing market structure, emerging and vanishing of cryptocurrencies on a daily level. Following its development became a difficult task with the success of cryptocurrencies (CCs) other than Bitcoin. For fiat currency...

New Public Management helps universities and research institutions to perform in a highly competitive research environment. Evaluating publicly financed research results improves transparency, helps in reflection and self-assessment, and provides information for strategic decision making. In...

Estimation or mis-specification errors in the portfolio loss distribution can have a considerable impact on risk measures. This paper investigates the sensitivity of tail-related risk measures including the Value-at-Risk, expected shortfall and the expectile-quantile transformation level in an...