تحليل و اندازه گيري ريسك سيستميك بين رمز ارزها و ارزهاي واقعي با استفاده از رويكرد ارزش در معرض ريسك شرطي و ريزش مورد انتظار حاشيهاي

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

هدف مقاله حاضر تحليل و اندازه گيري ريسك سيستميك بين رمز ارزها و ارزهاي واقعي با استفاده از رويكرد ارزش در معرض ريسك شرطي و ريزش مورد انتظار حاشيهاي بوده است. در اين مطالعه از اطلاعات آماري ارزهاي واقعي و مجازي در طول سال‌هاي 2015-2021 استفاده شده اسبراي اين منظور شاخص هاي ريسك سيستميك با استفاده از شاخص CoVaR و MES محاسبه شده سپس همبستگي بين ريسك سيستميك ارزهاي مورد ارزيابي قرار گرفته است. در اين پژوهش از اطلاعات آماري ارزهاي نرخ برابري پوند به دلار، نرخ برابري يوان به دلار، نرخ برابري لير به دلار، نرخ برابري يورو به دلار، بيتكوين، اتريوم، ريپل، ليت كوين و اتريوم كلاسيك براساس بازده قيمتهاي روزانه رمز ارزها و ارزهاي واقعي استفاده شد. نتايج بدست آمده بيانگر اين بود كه همبستگي بين شاخص‌هاي ريسك سيستميك در خصوص ارزهاي مورد مطالعه وجود داشته است و ارزهاي مجازي نسبت به ارزهاي واقعي داراي شاخص ريسك سيستميك كمتري بوده است.

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.