  Digital currencies and cryptocurrencies have hesitantly started to penetrate
the investors, and the next step will be the regulatory risk management
framework. We examine the Value-at-Risk and Expected Shortfall properties for
the major digital currencies, Bitcoin, Ethereum, Litecoin, and Ripple. The
methodology used is GARCH modelling followed by Filtered Historical Simulation.
We find that digital currencies are subject to a higher risk, therefore, to
higher sufficient buffer and risk capital to cover potential losses.
