| dc.description.abstract | Despite the high volatility of cryptocurrencies, their popularity has soared year by year in recent years. Investors participating in the cryptocurrency market have gradually expanded from early individual investors to institutional investors. However, the sharp fluctuations in cryptocurrency prices have had a significant impact on investors. This obviously has a significant impact on investors′ asset allocation and risk management. As the cryptocurrency market continues to expand and the number of market participants increases, governments around the world have had to face up to the existence of cryptocurrencies. The Basel Committee on Banking Supervision also issued relevant guidelines in 2022 as the basis for bank risk control. Therefore, it is necessary to control cryptocurrencies. The investment risk is crucial. This paper studies the returns of 7 cryptocurrencies with good liquidity and large trading volume in 1825 trading days from 2018 to 2022 as the data source of the GARCH (1,1) model, and estimates the risk value and Expected losses. The empirical results show that under different confidence levels, the expansion of the VaR range is consistent with historical events, indicating that VaR estimation can indeed help investors understand the maximum possible loss range under specific conditions, and ES can further tell investors what will happen if VaR is exceeded. , how much loss there will be on average, thereby helping investors optimize their investment portfolios, reduce potential losses, and improve the stability of overall investment decisions. | en_US |