Risk Analytics

Know your risk.

Risk Pillars We Track

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