Risk Analytics

Value at Risk(VaR) Profiles

Each cryptocurrency has a unique risk profile, and VaR techniques quantify and estimate the risks and potential future losses for any given day

• Understand the inherent market risk(s) for a given cryptocurrency asset or portfolio
• Tracks & estimates magnitude of losses over a given time frame & confidence level
• Utilizes the risk industry standard Historical Simulation methodology for VaR, ES, and SVaR
• Analyzes performance following and measures frequency of VaR loss events

Stress Scenario Analysis

We track and catelog stress events caused by big picture macro or idiosynchic cryptocurrency drivers.

• Catelog of historical risk events allows estimation of similar future events
• Volatility can be profiled and movement based on previous news driven extremes
• Good for estimation of a portfolio of assets in a new scenario
• We design hypothetical events as well as record historical

Liquidity Analysis

The Liquidity report identifies and monitors liquidity conditions and underlying market demand for a given cryptocurrency asset on a given exchange

• Identification of statistically significant volume levels and daily updated commentary
• Active tracking of trade sizing to identify Institutional activty or other large market participation
• Analysis of historical trade prints to gauge urgency and the Buyers-to-Sellers ratio
• Analysis of historical volumes via both time of day and day of week

Statistical Analysis

Explore cryptocurrencies via multiple statistical techniques to aid in understanding the underlying asset

• Autoregression and mean reversion analysis
• Identification of seasonality in the data series
• Correlation charts
• Identify abnormalities using latest data analysis techniques
• Not yet available