A multicountry comparison of cryptocurrency vs gold: Portfolio optimization through generalized simulated annealing [Scholarly Article - Blockchain: research and Application, 2022]

Title:

A multicountry comparison of cryptocurrency vs gold: Portfolio optimization through generalized simulated annealing

 

Author:

Ankit Som & Parthajit Kayal

Madras School of Economics, Chennai, 600025, India 

Published:

Blockchain: Research and Applications, 14 March 2022

https://www.sciencedirect.com/science/article/pii/S2096720922000161

Abstract:

The last few years have seen a paradigm shift in the financial sector with the development of cryptocurrencies as an alternative mode of payment as well as an investment scheme. The aim of this study is two-fold. The first is to quantify the volatility of cryptocurrencies in terms of the dynamics of tail-end behavior using different approaches and choose the one with the lowest value-at-risk. The second is to investigate the effect of its inclusion in a portfolio with and without gold, to see if Bitcoin is indeed the “digital gold”. This paper uses the generalized simulated annealing optimization technique to compare portfolios for ten countries across the world. The data provide convincing evidence in favor of the inclusion of Bitcoin in the optimized portfolios. Rolling-window analyses (three-year and five-year) confirm the same. However, for some countries, the empirical pattern suggests that instead of replacing gold from the portfolio, both should be comprised. Our results are robust in terms of the inclusion of non-linear constraints.

 

Cryptocurrency and Financial Risks by Avin Mohitesh Sharma [Liberty University, Doctoral Dissertations and Projects, January 2021]

Title:

Cryptocurrency and Financial Risks

 

Author:

Avin Mohitesh Sharma

 

Published:

Doctoral Dissertations and projects, Liberty University, 2791 (January 2021)

https://digitalcommons.liberty.edu/doctoral/2791/

Abstract:

Since its inception, the cryptocurrency's exceptional growth has put financial institutions at high risk of exposure to money laundering. In financial institutions, specifically banks, Anti-Money Laundering and Bank Secrecy Act (AML/BSA) risk specialists, bank managers, and compliance officers get challenged in identifying cryptocurrency-related transactions and customers who conceal illegal funds. Interviews conducted with the AML/BSA risk specialists, bank managers, and compliance officers were analyzed to understand how banks combat the cryptocurrency-related money laundering in the USA banking system. Interview with the Director of Financial Investigations & Education at CipherTrace as an expert in blockchain forensics was evaluated to recognize bank regulation and compliance. The case studies were assessed to understand the banks' program and regulation deficiencies and their inability to identify suspicious accounts. Interviews and case studies findings suggest that cryptocurrency-related money laundering is a risk for banks who lack proper tools, programs, and adequate well-trained and well-educated staff in mitigating cryptocurrency-related risks. Support provided by FinCEN regulation and guidance and external vendors is seen as critically valuable in assisting banks to combat cryptocurrency-related money laundering financial crimes.

North Korean hackers steal billions in cryptocurrency. How do they turn it into real cash?

Title:
North Korean hackers steal billions in cryptocurrency. How do they turn it into real cash?

Author:
Patrick Howell O'Neill

Published:
MIT Technology Review, 10 September 2020
https://www.technologyreview.com/2020/09/10/1008282/north-korea-hackers-money-laundering-cryptocurrency-bitcoin/

From the article:
* For Pyongyang’s hackers, the heist is the easy part. Actually getting their hands on the money is a different story.

* The United Nations says these actions bring in vast sums which the regime uses to develop nuclear weapons that can guarantee its long-term survival.