We provide an extreme value analysis of the returns of Bitcoin. A particular focus is on the tail risk characteristics … the risk characteristics is of utmost importance. So for bitcoin to become a mainstream investable asset class, studying … risk management, financial engineering (such as bitcoin derivatives) - both from an investor's as well as from a regulator …

Conditional value at risk (CoVaR) and marginal expected shortfall (MES) have been proposed as measures of systemic risk …. Some argue these statistics should be used to impose a “systemic risk tax” on financial institutions. These recommendations … systematic risk; and, (3) poorly measure asymptotic tail dependence in stock returns. We introduce a null hypothesis to separate …

the main challenges for regulators in terms of bank risk measurement. The study shows that substantial challenges for … discussion concerning proper risk measurement in regulatory frameworks, such as the Basel Accord or the European Banking …The latest financial crisis has exposed substantial weaknesses in the bank risk models used by national regulators as …