Mensuração de risco das moedas digitais utilizando o método de Value at Risk (VAR)

Abstract

The current study has the intent to debate and analyze the risks shown by the digital currency. This decision is the result of the high volatility these currencies can have in their history coupled with the fact that it’s a growing market, besides the innovative potential these coins have, capable of revolutionizing the current global finance system. This new mode of payment has been eliminating the middle man in finance, by increasing security and speed of transfers of resources and reducing costs of transactions, therefore the argument for an in-depth study of these coins. The method of measurement of risk utilized in this study for the digital currency is the Value-at-Risk, an indicator used by financial institutions to measure risk in their portfolios. Another way to contribute with this indicator, is the concept of relevant market, because it helps to define which coins are the most relevant in this current market, creating a rank of risk for them. The objective is to identify the riskiest coins in this segment and serving as a tool to help new and current users of this new payment system, determining which coins should be avoided to prevent high volatilities and the ones that show capacity for security and reliability.