Evaluación de valor en riesgos VAR de un portafolio de inversión en criptomonedas usando RStudio, 2023.
Keywords:
Cryptocurrency, portfolio, value at risk, RStudio, asset, priceAbstract
9165 crypto currencies recorded by Yahoo Finance, face dynamics with significant mobility due to extreme events, COVID-19, Russia-Ukraine war, global monetary policy uncertainty, collapse of the speculative bubble of the crypto currency market, among others; generating those digital currencies are exposed to greater market risk. Therefore, the value at risk VAR of an investment portfolio of 4 crypto currencies was evaluated using RStudio, based on a daily sample data of market prices of the crypto currencies Bitcoin (BTC-USD), Ethereum (ETH-USD), Tether (USDT-USD) and Binance Coin (BNB-USD) for the last 8 years from Yahoo Finance. The historical time series of market values, daily returns and histogram of daily returns were analysed, observing high volatility for Bitcoin, Ethereum and Binance. Subsequently, to measure the risk of the portfolio investment, the Marginal Value at Risk (MVAR) method was applied at 95%; this sample portfolio with a proportional investment of 25% in each asset, yielded an MVAR of 5.04%, showing the magnitude of the level of risk that the portfolio faces in the face of this investment decision.
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