Expected Shortfall via Filtered Historical Simulation for Bitcoin and Ethereum

Abstract

Digital currencies and cryptocurrencies have hesitantly started to penetrate the investors, and the next step will be the regulatory risk management framework. We examine the Value-at-Risk and Expected Shortfall properties for Bitcoin and Ethereum, using GARCH methodology and filtered historical simulation. We find the both Bitcoin and Ethereum are subject to a higher risk, therefore, to higher sufficient buffer and risk capital to cover potential losses.