Browsing by Subject "Value at Risk"
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(Assumption University Press, 2018)
Due 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 ...