The Crypto FRM captures the systemic tail event behavior in the largest 15 crypto coins by amount outstanding but focusing on a more recent trading period given the availability of data. We start our analysis in 2015 with 8 crypto currencies and extend it to 15 from July 2017 onwards. The 2018 cryptocurrency crash is well captured after the rapid rise in crypto coins in 2017. Similarly, the drop in Bitcoin prices at the end of 2018 led to another increase in systemic tail event risk.

The animation below represents the network of constituents in the Crypto network – specifically the interplay between coins and where risk is concentrated. Edges in the graph are directional, as indicated by the arrows. Notice the marginal return contribution from the highlighted crypto (BTC) to one or more nodes and that from other nodes to it.