| Abstract [eng] |
As cryptocurrencies continue to gain popularity and more and more people invest in cryptocurrencies, the assessment and management of cryptocurrency price risk is becoming increasingly important. Risk management is one of the main parts of the investment process in order to protect assets and obtain positive financial results, therefore the main goal of the work is to create a cryptocurrency risk assessment and management model that meets the criteria for assessing and managing cryptocurrency price risk. An analysis of the scientific literature revealed that traditional risk assessment methods are still often used to assess cryptocurrencies, but this constantly changing market requires more advanced and modern solutions. VaR is one of the most widely used risk assessment methods, but in the case of cryptocurrencies it cannot accurately assess the risk due to constant extreme changes. It was also found that there is still a lack of effective risk management models when applying derivative financial instruments, and the currently used cryptocurrency price risk assessment and management models lack automation and integration with other financial systems and databases. In order to solve these problems, a model for assessing and managing the risk of cryptocurrency price changes was developed, which uses an improved VaR method by first using the GARCH model and, based on this method, predicting the increase in risk, a hedging strategy using a derivative financial instrument is applied. After conducting an experiment with standard VaR and modified VaR with the four cryptocurrencies with the largest capitalization (Bitcoin, Ethereum, Solana and BNB), it was found that the modified VaR exceeds the value of actual losses 54% fewer times compared to the standard VaR. This means that the modified VaR assesses risk more accurately, therefore this indicator is more suitable for assessing the risk of cryptocurrencies. After forecasting volatility and calculating VaR based on it, it was found that an increase in risk is predicted for Bitcoin, Ethereum and BNB cryptocurrencies, therefore, a hedging strategy using Bitcoin futures was used for these cryptocurrencies. The results obtained showed that the risk experienced was reduced in the case of all cryptocurrencies, although Bitcoin's and BNB profitability decreased. |
