Valuation models

Crypto holdings

Quantity times price, a parametric value at risk over any horizon on a 365-day year, and staking or lending income a year.

Inputs

Results

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Methodology

Conventions

  • Quantity times price in the quote currency.
  • Value at risk from a normal return over the horizon, on a 365-day year (crypto trades every day).

References

  • Basel Committee (2022), Prudential treatment of cryptoasset exposures

Formulas

VaR
|QP| σ √(h/365) Φ⁻¹(c)