Journal of Risk Management and Insurance
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Browsing Journal of Risk Management and Insurance by Author "Danai Likitratcharoen"
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ItemValue at risk performance in cryptocurrencies(Assumption University Press, 2018) Danai Likitratcharoen ; Teerasak Na Ranong ; Ratikorn Chuensuksomboon ; Norrasate Sritanee ; Ariyapong PansriwongDue to conclusion could not rely on only one test, in this study, we apply various approaches to verify the actuary of VaR model to find out whether VaR model, especially historical VaR and delta normal VaR model, can provide the accura te risk measurement results for cryptocurrencies risk , especially CRIX, BTC, ETH and XRP . We use Kupiec’s POF test, Independence Test - Christoffersen (1998) and Joint Test that widely use for backtesting VaR model. Performance test results for risk measurem ent by historical VaR provide a fairly accurate over delta normal VaR when we use Kupiec’s POF - test for the accuracy of VaR model. Christoffersen (1998) independence test, the exceptions (failures) of historical VaR and delta normal VaR model show independ ence exceptions in accordance with an only high confidence level of critical values (0.99). Otherwise , the low confidence level of critical values (0.90 and 0.95) appears dependence exceptions. For the Joint test, we combine POF - test and independence test because each model has different advantages and disadvantages. The results show that historical VaR model is suitable for measuring cryptocurrency risk over delta normal VaR only high confidence level of critical values.