I'm looking to figure out how to price "insurance" against a counter-party defaulting in an OTC cryptocurrency transaction. I think the first measure would be to calculate VaR? I'm planning on modeling bitcoin using a stochastic process and calibrating it using historical data. I'm not quite sure which model to use for bitcoin. I've seen some papers use a GARCH model.
In general, am I approaching this correctly? Any suggestions?
Thanks!