Loading Events

« All Events

  • This event has passed.

Next Boston QWAFAFEW Meeting: Aug 17, 2021, 7:00PM ET

August 17 @ 7:00 pm - 8:00 pm

| Free

Next Boston QWAFAFEW Meeting: Aug 17, 2021, 7:00PM ET


Estimation of Cryptocurrency Risk

A QWAFAFEW discussion led by,

 

Dan diBartolomeo

 

Abstract:   

The market value of all cryptocurrency now exceeds 1% of all traded wealth.   In recent months there have been massive swings (both up and down) in the values of cryptocurrencies like Bitcoin and Ethereum.  Some financial institutions such as Goldman Sachs are setting up trading desks to participate in these assets, while others such as HSBC have explicitly stated that they do not support any participation by their clients.  Irrespective of their intrinsic or extrinsic value, we expect that such items will be turning up in institutional investor portfolios from time to time.  The presentation will begin with a brief review of the nascent research literature on cryptocurrency risk.  The central portion will focus on key building blocks for understanding the risk of cryptocurrencies and what magnitude of return expectations would justify those risks for a typical investor.   Our process involves both historical and forward-looking information, as well as several nuances in the statistical estimation of a covariance matrix (within crypto and to other assets).  The final portion of the presentation will be devoted to the tail risk properties of cryptocurrencies including geopolitical events (being outlawed or severely regulated) and the peculiar operational risks (e.g. theft, loss of private keys).  An example of how these extreme events can be incorporated will be provided based on the method of Cornish and Fisher (1938). 


Bio: 
Dan diBartolomeo is founder and President of Northfield.   His record of research publications includes more than fifty peer-review papers, textbook chapters, and books.  Dan holds leadership positions with numerous professional societies including CQA and IAQF.  In 2019 he became the editor of the Journal of Asset Management

*** We will be meeting at the Tennis & Racquet Club in Sep, a hybrid format, Zoom and the T&R Bar!

 

 

Time: 7:00 PM sharpe
Registration is required. Register in advance for this meeting here: https://us02web.zoom.us/meeting/register/tZEpdeqgrzsrHtc3uRFJ5Tv2-8t—dsdXFh

After registering, you will receive a confirmation email containing information about joining the meeting.

This event will be streamed on Zoom and recorded and made available on YouTube.  By registering you consent to this.

Boston QWAFAFEW Mailing List:
https://boston.qwafafew.org/mailing-list-signup/

Steerage Committee:
Hugh Crowther
Dan diBartolomeo
Mike Dunn
Steve Gaudette
Sri Krishnamurthy
Mark Kritzman
John Minahan
Donna Cool Murphy
Larry Pohlman
Dan Potter
Dan Rie
Evan Schulman
Michael Schwartzman
Michael Wilcox

The members of the Steerage Committee are responsible for coordinating the program content.

Program suggestions from members are always welcome.

Details

Date:
August 17
Time:
7:00 pm - 8:00 pm
Cost:
Free