employed to estimate the Value at Risk (VaR) and the Expected Shortfall (ES) for the two exchange rates, BitCoin/US dollar … (BitCoin) and the South African rand/US dollar (ZAR/USD). The estimated risk measures are used to compare the riskiness of the … significance further confirm the higher risk associated with BitCoin. Model adequacy is confirmed using the Kupiec test procedure …

We define risk spillover as the dependence of a given asset variance on the past covariances and variances of other … international equity portfolio. According to the risk management strategy proposed, portfolio risk is seen as a specific combination … currencies. In this framework, we focus on the risk spillovers across equities within the same sector (sector spillover), and …

This paper attempted to apply an EVT-based pairwise copula method for modelling risk interaction between foreign …), and we used the vine copula to model the co-movement between foreign exchange rates and equity indices and value at risk … (VaR) for risk quantification. We used three exchange rates (USD, GDP, and EUR) against the South African rand (ZAR) and …