Please use this identifier to cite or link to this item: https://scholarhub.balamand.edu.lb/handle/uob/6870
Title: Risk and values of NFTs : a VaR Study
Authors: Aoude, George
Masri, Anjy El
Ezzedine, Elissar
Advisors: Assaf, Ata 
Keywords: Bitcoin; NFTs; VaR.
Subjects: Bitcoin
NFTs (Tokens)
University of Balamand--Dissertations
Dissertations, Academic
Issue Date: 2023
Abstract: 
This paper uses Value at Risk (VaR) and extreme value theory to compute risk metrics in the bitcoin market, specifically for nine selected NFTs. To carry out this testing, the nine NFTs tested were Tezos, Axie, Decentraland, Theta, Digibyte, Sandbox, Chainlink, Maker, and CryptoPunks. This theoretical framework emphasizes the occurrence of rare and extreme events to construct metrics such as Value at Risk and Expected Shortfall. This paradigm was effectively applied to the logarithmic returns of the nine Non-Fungible Tokens (NFTs) between March 2020 and March 2023 in the study. However, there were variations in the dates due to the more recent launches of some of the chosen NFTs. According to the results, Decentraland had the highest VaR at 1% probability, whereas Sandbox has the lowest Expected Shortfall (ES). Decentraland had the highest VaR at 5% likelihood, whereas Sandbox has the lowest ES. Finally, with a 10% likelihood, Theta had the highest VaR, whereas Axie has the lowest.
Description: 
Includes bibliographical references (p. 39-46)
URI: https://scholarhub.balamand.edu.lb/handle/uob/6870
Rights: This object is protected by copyright, and is made available here for research and educational purposes. Permission to reuse, publish, or reproduce the object beyond the personal and educational use exceptions must be obtained from the copyright holder
Type: Project
Appears in Collections:UOB Theses and Projects

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