  This paper evaluates and assesses the risk associated with capital allocation
in cryptocurrencies (CCs). In this regard, we take a basket of 27 CCs and the
CC index EWCI$^-$ into account. After considering a series of statistical tests
we find the stable distribution (SDI) to be the most appropriate to model the
body of CCs returns. However, as we find the SDI to possess less favorable
properties in the tail area for high quantiles, the generalized Pareto
distribution is adapted for a more precise risk assessment. We use a
combination of both distributions to calculate the Value at Risk and the
Conditional Value at Risk, indicating two subgroups of CCs with differing risk
characteristics.
