Tail Risk & Drawdowns: data

As of 26/10/2026 17:22 UTC. 95% confidence level, last 180 days of daily returns. Source: The Risk Protocol, calculated hourly.

Tail risk by token

• BTC: 1-day VaR -2.46%, expected shortfall -3.02%, max drawdown -30.08% (2026-06-30), 30D Ulcer index 0.053, skewness 0.69, kurtosis 6.47
• ETH: 1-day VaR -2.83%, expected shortfall -4.22%, max drawdown -37.68% (2026-06-26), 30D Ulcer index 0.106, skewness 1.01, kurtosis 11.05
• AAVE: 1-day VaR -4.84%, expected shortfall -6.25%, max drawdown -43.44% (2026-06-06), 30D Ulcer index 0.143, skewness 0.79, kurtosis 5.66
• ADA: 1-day VaR -3.89%, expected shortfall -5.58%, max drawdown -52.63% (2026-06-26), 30D Ulcer index 0.258, skewness 0.14, kurtosis 5.25
• AVAX: 1-day VaR -4.27%, expected shortfall -5.67%, max drawdown -45.79% (2026-06-19), 30D Ulcer index 0.148, skewness 0.67, kurtosis 6.68
• BNB: 1-day VaR -1.99%, expected shortfall -2.72%, max drawdown -27.30% (2026-07-01), 30D Ulcer index 0.075, skewness 0.50, kurtosis 6.73
• DOGE: 1-day VaR -3.84%, expected shortfall -4.46%, max drawdown -43.15% (2026-08-01), 30D Ulcer index 0.312, skewness 0.64, kurtosis 5.88
• DOT: 1-day VaR -4.22%, expected shortfall -5.56%, max drawdown -50.58% (2026-08-18), 30D Ulcer index 0.256, skewness 0.36, kurtosis 4.58
• HBAR: 1-day VaR -2.83%, expected shortfall -4.12%, max drawdown -42.23% (2026-10-24), 30D Ulcer index 0.301, skewness 1.63, kurtosis 17.26
• LINK: 1-day VaR -3.95%, expected shortfall -5.29%, max drawdown -36.13% (2026-06-26), 30D Ulcer index 0.179, skewness 0.43, kurtosis 4.11
• LTC: 1-day VaR -3.64%, expected shortfall -4.82%, max drawdown -35.15% (2026-06-24), 30D Ulcer index 0.160, skewness 1.03, kurtosis 8.96
• NEAR: 1-day VaR -6.30%, expected shortfall -8.69%, max drawdown -51.91% (2026-08-11), 30D Ulcer index 0.148, skewness 0.46, kurtosis 5.17
• SHIB: 1-day VaR -4.13%, expected shortfall -4.90%, max drawdown -39.89% (2026-07-17), 30D Ulcer index 0.254, skewness 1.71, kurtosis 15.56
• SOL: 1-day VaR -3.00%, expected shortfall -4.26%, max drawdown -38.36% (2026-06-06), 30D Ulcer index 0.125, skewness 0.50, kurtosis 4.79
• TRX: 1-day VaR -1.43%, expected shortfall -1.87%, max drawdown -17.12% (2026-06-12), 30D Ulcer index 0.119, skewness -1.09, kurtosis 6.79
• UNI: 1-day VaR -8.64%, expected shortfall -9.65%, max drawdown -43.95% (2026-06-06), 30D Ulcer index 0.288, skewness 0.84, kurtosis 5.66
• XLM: 1-day VaR -3.40%, expected shortfall -4.20%, max drawdown -51.09% (2026-08-18), 30D Ulcer index 0.400, skewness 1.55, kurtosis 10.54
• XRP: 1-day VaR -2.93%, expected shortfall -4.07%, max drawdown -36.71% (2026-08-18), 30D Ulcer index 0.177, skewness 1.47, kurtosis 10.28

Frequency of extreme 24h moves, last 30 days (share of rolling 24h windows)

• BTC: moves above +5% 0.00%, below -5% 0.00%, above +10% 0.00%, below -10% 0.00%, above +1 std dev 0.42%, below -1 std dev 1.95%
• ETH: moves above +5% 0.00%, below -5% 3.48%, above +10% 0.00%, below -10% 0.00%, above +1 std dev 0.00%, below -1 std dev 3.89%