Analyzing and measuring the systemic risk between cryptocurrencies and real currencies using the value-at-risk and the marginal expected shortfall

Subject Areas : Computational economics

Zohre Rahimi ¹ , Gholamreza Zomorodian ² , Azita Jahanshad ³ , Mehdi Madanchizaj ⁴

1 - Other
2 - دانشیار، دانشیار دانشگاه آزاد واحد تهران مرکزی، تهران، ایران
3 - دانشیار، دانشیار دانشگاه آزاد واحد تهران مرکزی، تهران، ایران
4 - دانشگاه آزاد واحد تهران مرکزی، تهران، ایران

Received: 2023-03-05 Accepted : 2023-05-23 Published : 2023-05-22

Keywords: Systemic Risk, , , , real currency, , cryptocurrency, , conditional value at risk, , marginal expected shortfall,

Abstract :

The purpose of this paper is to analyze and measure the systemic risk between the cryptocurrency and real currencies using the conditional risk exposure value approach and the expected marginal loss. In this study, statistical data of real and virtual currencies during the years 2015-2021 have been used. For this purpose, systemic risk indices have been calculated using CoVaR and MES indices and then the correlation between systemic risk of currencies has been evaluated. In this study, the statistical data of the currencies of the exchange rate of the pound to the dollar, the exchange rate of the yuan to the dollar, the exchange rate of the lira to the dollar, the exchange rate of the euro to the dollar, bitcoin, atrium, ripple, litcoin and atrium based on daily price returns Currencies and real currencies were used. The results showed that there was a correlation between systemic risk indicators for the studied currencies and virtual currencies had a lower systemic risk index than real currencies. The purpose of this paper is to analyze and measure the systemic risk between the cryptocurrency and real currencies using the conditional risk exposure value approach and the expected marginal loss. In this study, statistical data of real and virtual currencies during the years 2015-2021 have been used. For this purpose, systemic risk indices have been calculated using CoVaR and MES indices and then the correlation between systemic risk of currencies has been evaluated.