Review of: "Cryptocurrency market risk analysis: evidence from FZL function"

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Potential competing interests: No potential competing interests to declare.The major contribution of this study is to use the joint loss dynamic models (FZL) of Fissler and Ziegel 2016 for joint VaR and ES in cryptocurrency markets risk analysis.The author should illustrate the advantages of this approach over standard approaches.What risk ranking would have been obtained without the use of this FZL method?What differences in terms of regulatory capital calculations?Tha author should mention first (using some examples from the litterature) the advantages and empirical results obtained by FZL in stdandard risk Management applications (not cryptocurrencies).The author should comment his result: MDM test of equal predictive accuracy (EPA) rejects the null hypothesis of EPA for Litecoin at 1% level.What was the model having the best predictions.What are the possible explanations of such a different result (just for Litecoin at 1%).What possible practicle recommendations?Many equations are illegible because of editing problems (3, 4, 6, 7, 10, 11).All fractions are shifted as powers.

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