Cryptocurrencies as a Form of Speculative Investment and Risk Assessment Based on the VaR Method

V zadnjem obdobju se zanimanje za kriptovalute zelo povečuje in te tako postajajo vse pogostejša tema debat, zlasti v finančnem svetu. Kriptovalute predstavljajo stičišče med tehnologijo in financami, saj imamo na eni strani novo revolucionarno tehnologijo blockchain, ki je glavni fundamentalni element delovanja kriptovalut in na drugi strani nek nov razred sredstev, ki pa odpira naložbene priložnosti. V magistrski nalogi je osredotočenost usmerjena predvsem na predstavitev naložbenega vidika kriptovalut. V prvem delu naloge opredelimo kriptovalute, njihov začetek in razvoj. Okvirno predstavimo tehnologijo blockchain in tri vodilne, največje kriptovalute bitcoin (BTC), ethereum (ETH) in ripple (XRP). Izpostavimo tudi prednosti in slabosti kriptovalut. Sledi prehod na naložbeni vidik. Trg kriptovalut je zelo dinamičen, volatilen in špekulativne narave. Razlogov, zakaj se posamezniki odločajo investirati v kriptovalute je več in ti segajo vse od špekulacij pa do dolgoročnih naložb, možnosti diverzifikacije portfelja, evforije. Infrastruktura, ki omogoča dostop oz. nakup kriptovalut ter trgovanje z njimi se še razvija in obstaja vedno več načinov, kje jih lahko posameznik kupi ali z njimi trguje. Glavni in najpogostejši način dostopa predstavljajo kriptoborze, obstajajo tudi razni kripto bankomati, trgovanje pa je omogočeno tudi z nekaterimi izvedenimi finančnimi instrumenti, kot so standardizirane terminsko pogodbe, CFD pogodbe ali pa se z njimi trguje na OTC trgu (trg prek okenc). Vsak od teh načinov ima določene prednosti in slabosti in te so izpostavljene skupaj s tem, na kaj morajo biti posamezniki previdni, ko uporabljajo te načine dostopa. Pomemben je tudi način hrambe kriptovalut in poznamo več vrst denarnic, njihova izbira je odvisna predvsem od lastnih preferenc posameznika, saj imajo te različne prednosti in slabosti, ki so v nalogi predstavljene. V nadaljevanju je izpostavljena vloga institucionalnih investitorjev in "hedge" skladov. Trenutno imajo večjo vlogo predvsem manjši "hedge" skladi. Sledi prikaz gibanja cene treh vodilnih kriptovalut, kjer smo izpostavili večja nihanja, opredeljeni pa so tudi glavni dejavniki, ki vplivajo na gibanje cene. Med temi so ponudba in povpraševanje, novice, FOMO in FUD, širše družbeno sprejemanje ter tehnološki napredek. V drugem, empiričnem delu naloge pa kvantitativno z uporabo znanih metod VaR (value at risk) in ES (expected shortfall) ocenimo tveganost naložb v izbrane kriptovalute in jih primerjamo z izbranimi tradicionalnimi finančnimi instrumenti. Prikazati smo želeli, za kako tvegane naložbe dejansko gre, ko govorimo o kriptovalutah v primerjavi s tradicionalnimi finančnimi instrumenti. Vse izbrane instrumente smo na podlagi izračunanih vrednosti v tabeli razvrstili po tveganosti. Rezultati so pokazali, da med skupinama prihaja do očitnih razlik, saj so izbrane kriptovalute na podlagi izračunanih vrednosti VaR in ES bistveno bolj tvegane od ostalih izbranih instrumentov. Skladno s tem smo tudi za namen preverjanja hipotez dokazali, da med skupinama obstajajo statistično značilne razlike.In recent years, interest in cryptocurrencies has been increasing fast and they are becoming more and more common topic of debates, especially in the financial world. Cryptocurrencies represent the junction between technology and finance as we have on the one hand, a new revolutionary blockchain technology, which is the main fundamental element of the functioning of the cryptocurrencies, and on the other hand, a new asset class, which opens up investment opportunities. In the master’s thesis, the focus is primarily on presenting the investment aspect of cryptocurrencies. In the first part of the thesis, we define cryptocurrencies, their beginning and development. We outline blockchain technology and the three largest leading cryptocurrencies bitcoin (BTC), ethereum (ETH), and ripple (XRP). We also highlight the pros and cons of cryptocurrencies. This is followed by a transition to the investment aspect. The cryptocurrency market is very dynamic, volatile and speculative in nature. There are many reasons why individuals choose to invest in cryptocurrencies, ranging from speculation to long-term investment, portfolio diversification, and euphoria. Infrastructure that allows you to access or purchase cryptocurrencies and trade with them is still evolving and there are more and more ways where an individual can buy or trade them. The main and most common way to access cryptocurrencies represent crypto exchanges. There are also various crypto ATMs and trading is also possible with some derivatives such as futures, CFDs or they can be traded on the OTC market (over-the-counter market). Each of these ways has certain advantages and disadvantages and those are highlighted together with what individuals should be careful about when using these ways of access. The method of storing cryptocurrencies is also important and we know several types of wallets, the choice of which primarily depends on the individual’s own preferences, since these have different advantages and disadvantages that are presented in the thesis. Further on, the role of institutional investors and hedge funds is highlighted. Currently, mostly smaller hedge funds have a greater role. This is followed by an overview of the price movement of the three leading cryptocurrencies, where we highlighted major fluctuations and where the main factors affecting the price movements are also identified. Among these are supply and demand, news, FOMO and FUD, broader social acceptance and technological advances. In the second, empirical part of thesis, we quantitatively estimate the risk of investing in the selected cryptocurrencies and compare them with selected traditional financial instruments using the known VaR (value at risk) and ES (expected shortfall) method. We wanted to show how risky investments really are when it comes to cryptocurrencies compared to traditional financial instruments. We sorted all the selected instruments by risk based on the calculated values in the table. The result showed that there are obvious differences between the groups, since the selected cryptocurrencies, based on calculated values of VaR and ES, are significantly more risky than the other selected instruments. Accordingly, for the purpose of hypothesis testing, we proved that there are statistically significant differences between the groups