Stress Lab

How the Kintechs Reference Portfolio (50% BTC, 30% ETH, 20% USD stablecoins) performs through past crises and defined shocks.

Data as of –

Risk summary

VaR 99%, 1D
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VaR 99%, 10D
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ES 97.5%, 1D
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ES 97.5%, 10D
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Basel traffic light
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ETH beta to BTC
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Historical scenarios

Daily Coinbase closes over each crisis window. Recovery counts days from the start of the window until the portfolio regained its pre-crisis value.

Crisis replay
ScenarioPortfolioMax drawdownWorst dayBTCETHRecovery
Source: Coinbase; Kintechs calculations

Hypothetical and reverse stress

Hypothetical shocks
ScenarioBTCETHStablecoinsPortfolio
Kintechs calculations
Reverse stress: BTC move required
Portfolio lossBTC move
Source: Coinbase; Kintechs calculations

Liquidity and concentration of risk

Liquidity-adjusted VaR, 1D
Portfolio sizeVaR 99%Exit costLVaR
Source: Coinbase, Kraken, OKX, Binance; Kintechs calculations
Contribution to portfolio risk
Share of EWMA portfolio volatilitySource: Coinbase; Kintechs calculations

Work with Kintechs

Research collaboration, data partnerships and institutional access. Every request is reviewed by the team.