Tail risk in Bitcoin under the Basel framework

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2025-09-25 DOI:10.1016/j.frl.2025.108528

Huei-Wen Teng , Hsin-Pei Huang , Yu-Chuan Shih

引用次数: 0

Abstract

We examine Bitcoin’s tail risk within the Basel framework using Value-at-Risk and Expected Shortfall. Daily data from 2018 to 2024 are analyzed by comparing the Stochastic Volatility with Correlated Jumps (SVCJ) model with its nested specifications and standard GARCH-type benchmarks (Duffie et al., 2000). The SVCJ framework is particularly suitable for cryptocurrencies, as it jointly captures stochastic volatility and correlated jumps in both returns and variance. Empirical results indicate that SVCJ delivers more accurate tail-risk forecasts than alternative models across horizons and confidence levels. To our knowledge, this is the first study to systematically evaluate the SVCJ model for Bitcoin tail risk, underscoring its relevance for robust risk management under Basel standards.

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巴塞尔框架下比特币的尾部风险

我们使用风险价值和预期缺口来研究巴塞尔框架下比特币的尾部风险。通过将随机波动率与相关跳变（SVCJ）模型与其嵌套规范和标准garch类型基准进行比较，分析2018年至2024年的每日数据（Duffie et al., 2000）。SVCJ框架特别适用于加密货币，因为它可以同时捕获收益和方差的随机波动和相关跳跃。实证结果表明，在不同的视界和置信水平上，SVCJ比其他模型提供了更准确的尾部风险预测。据我们所知，这是第一个系统评估比特币尾部风险的SVCJ模型的研究，强调了它与巴塞尔标准下稳健风险管理的相关性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

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