Portfolio Risk Management in the Crypto Era: A Quantitative Analysis on Cryptocurrency’s Safe Haven Status for BRICS and G7 Portfolios Using Wavelet Coherence, DCC-MGARCH and Value at Risk Approach

This thesis explores whether cryptocurrencies can act as safe-haven assets during financial crises, comparing their behaviour with traditional investments across G7 and BRICS countries. Using Wavelet Coherence, DCC MGARCH and Value at Risk methodologies, it reveals that certain cryptocurrencies (especially stablecoins) can help reduce portfolio risks during turbulent times and Bitcoin helps improving profitability during crises. The findings further challenge assumptions about asset-backed cryptocurrencies, showing that gold-backed ones may amplify risk. This work offers valuable insights for investors and policymakers on managing portfolio stability, contributing to a deeper understanding of digital asset’s role in modern financial markets.