Measuring and comparing investment risks for a sample of cryptocurrencies using the Value at Risk (VAR) model and the Conditional Value at Risk (CVAR) model

• Mohammed H. Adnan

  المؤلف

The aim of this research is to explain what Cryptocurrencies are, their characteristics and the risks of investing in them. The research problem lies in the difficulty of diagnosing investment risks in Cryptocurrencies. Therefore, the research relied on a comparative analytical method between the value at risk model and conditional value  at risk to estimate  investment risk. The research assumes that risks vary of investment risks in cryptocurrencies according to investors' confidence. The sample consisted of six cryptocurrencies selected for analysis. The closing price data was extracted from Yahoo Finance for the period of 1 January 2023 to 31 December 2025 to calculate the daily trading returns. This resulted in 1,095 observations for each currency. EViews software was used to measure and compare the investment risk results of the Value at Risk (VaR) and Conditional Value at Risk (CVaR) models. The key findings indicate Bitcoin as the “safe haven” with the least risk among the Cryptocurrencies studied, with Solana and Dogecoin having the highest risk. The study suggests building portfolios of Cryptocurrencies using efficient methods.

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الحقوق الفكرية (c) 2026 محمد عدنان, علي عبدالعزيز عيد الشمري (Author)

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